# EDGAR Filing Document

**Accession Number:** 0000874835
**File Stem:** 0001752724-23-046448
**Filing Date:** 2023-2
**Character Count:** 666750
**Document Hash:** 1382edcd9fe16f2e0ac72fd561f150c8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046448.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046448

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LEGG MASON PARTNERS VARIABLE INCOME TRUST
- **CENTRAL INDEX KEY:** 0000874835
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06310
- **FILM NUMBER:** 23682467

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE, 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 1-877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE, 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LEGG MASON PARTNERS VARIABLE PORTFOLIOS II
- **DATE OF NAME CHANGE:** 20060501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GREENWICH STREET SERIES FUND
- **DATE OF NAME CHANGE:** 19970902

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SHEARSON SERIES FUND
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### Western Asset Core Plus VIT Portfolio (Series ID: S000016930)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000047111 | Class I      | QLMHIX          |
| C000154792 | Class II     | LVITX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Legg Mason Partners Variable Income Trust

- **b. Investment Company Act file number:** 811-06310

- **c. CIK number of Registrant:** 0000874835

- **d. LEI of Registrant:** 549300HMB5WZ1N3QY685

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-721-1926

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

- **a. Name of Series:** Western Asset Core Plus VIT Portfolio

- **b. EDGAR series identifier (if any):** S000016930

- **c. LEI of Series:** 549300ZKZMJ585OXJ739

**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:** $409178535.67

**Total Liabilities:** $88076635.16

**Net Assets:** $321101900.51

**Delayed Delivery Securities:** $914131.64

**Stand-by Commitments:** $60739652.47

**Cash Not Reported:** $6639720.96

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2777.72000000 | **1-Year:** 12745.76000000 | **5-Year:** 71690.06000000 | **10-Year:** 34438.21000000 | **30-Year:** -4001.46000000

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

- **3-Month:** 11.40000000 | **1-Year:** 2678.84000000 | **5-Year:** 7399.87000000 | **10-Year:** 2701.51000000 | **30-Year:** 95.73000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000047111 | -1.25%               | 4.62%                | -1.11%               |
| Class ID C000154792 | -1.25%               | 4.41%                | -0.97%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3532049.88             | $-712396.70                                |
| Month 2  | $-663139.78              | $12266499.47                               |
| Month 3  | $-159144.26              | $-4022078.89                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                        | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Corp II                                                  | CUSIP: 36255TAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      482325 | PA      | $406287.97    | 0.13%             | 2031-09-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -1600000 | PA      | $-1355172.90  | -0.42%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                            | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1043533.55   | 0.32%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      185000 | PA      | $146895.91    | 0.05%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47017.76     | 0.01%             | 2029-02-08      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      310000 | PA      | $293021.15    | 0.09%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31642.92     | 0.01%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VBB5<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       14062 | PA      | $12581.96     | 0.00%             | 2028-08-21      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1690000 | PA      | $1436764.06   | 0.45%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | USD/IDR FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10844.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18843.71     | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CF0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       70000 | PA      | $56666.84     | 0.02%             | 2045-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                         | Gilead Sciences Inc                                                             | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45249.21     | 0.01%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                                      | Brazilian Government International Bond                                         | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      710000 | PA      | $528348.13    | 0.16%             | 2045-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      470000 | PA      | $452078.27    | 0.14%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                      | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |       80000 | PA      | $78522.10     | 0.02%             | 2023-06-23      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      390000 | PA      | $381455.76    | 0.12%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      476550 | PA      | $380595.94    | 0.12%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                           | Johnson & Johnson                                                               | CUSIP: 478160CP7<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      110000 | PA      | $94889.78     | 0.03%             | 2027-09-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      820000 | PA      | $741076.11    | 0.23%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45711.90     | 0.01%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                                      | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |      520000 | PA      | $468416.47    | 0.15%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KVHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87114 | PA      | $71276.19     | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $152141.37    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      126289 | PA      | $118525.41    | 0.04%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2017-4                                                | CUSIP: 89173UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $189225.45    | 0.06%             | 2057-06-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -19 | NC      | $-890.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ECOPETROL SA                                                                | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      590000 | PA      | $412075.75    | 0.13%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                       | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAH7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      110000 | PA      | $109363.10    | 0.03%             | 2040-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                   | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      600000 | PA      | $464034.51    | 0.14%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L2QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81529 | PA      | $67087.34     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      129213 | PA      | $109718.66    | 0.03%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDJ8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29836.12     | 0.01%             | 2023-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1559723 | PA      | $1342942.37   | 0.42%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBL8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9869.02      | 0.00%             | 2024-11-14      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      160000 | PA      | $149039.48    | 0.05%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                         | Abbott Laboratories                                                             | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39223.93     | 0.01%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                                    | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AG6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49615.28     | 0.02%             | 2025-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          38 | NC      | $11281.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                                                    | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $363924.70    | 0.11%             | 2061-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8570.44      | 0.00%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       50000 | PA      | $36499.38     | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      400000 | PA      | $394213.56    | 0.12%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       50000 | PA      | $50191.41     | 0.02%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                    | NIKE Inc                                                                        | CUSIP: 654106AM5<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      110000 | PA      | $86643.61     | 0.03%             | 2050-03-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                 | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      418026 | PA      | $348338.63    | 0.11%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                       | Vale Overseas Ltd                                                               | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      149000 | PA      | $157550.81    | 0.05%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65674.21     | 0.02%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                     | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9087.74      | 0.00%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       20000 | PA      | $15736.07     | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ARH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       87237 | PA      | $75105.50     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       50000 | PA      | $38908.33     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       98468 | PA      | $89591.84     | 0.03%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank                                                                        | BANK 2017-BNK5                                                                  | CUSIP: 06541WAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      640000 | PA      | $591148.48    | 0.18%             | 2060-06-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          10 | NC      | $3625.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      390000 | PA      | $382616.49    | 0.12%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      310000 | PA      | $234962.43    | 0.07%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      315858 | PA      | $294527.02    | 0.09%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      282318 | PA      | $238310.93    | 0.07%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       40000 | PA      | $26381.39     | 0.01%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                             | Cameron LNG LLC                                                                 | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      440000 | PA      | $355786.67    | 0.11%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -19 | NC      | $-15140.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19099 | PA      | $17530.60     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -2700000 | PA      | $-2340432.39  | -0.73%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                    | Builders FirstSource Inc                                                        | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16249.66     | 0.01%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300000 | PA      | $254364.45    | 0.08%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       80000 | PA      | $62255.58     | 0.02%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17381.04     | 0.01%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85448 | PA      | $73928.24     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2019-RPL3                                   | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65932 | PA      | $61568.57     | 0.02%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| HERSHEY COMPANY                                                             | Hershey Co/The                                                                  | CUSIP: 427866BF4<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18271.60     | 0.01%             | 2025-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                         | PayPal Holdings Inc                                                             | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65047.57     | 0.02%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q8AH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35783 | PA      | $33195.84     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         121 | NC      | $43862.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88455 | PA      | $75808.84     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36652.90     | 0.01%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      170000 | PA      | $143154.93    | 0.04%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      110000 | PA      | $101268.36    | 0.03%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1700000 | PA      | $1684770.92   | 0.52%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8515.19      | 0.00%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBF2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       90000 | PA      | $84385.81     | 0.03%             | 2031-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381HGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2222092 | PA      | $1485950.61   | 0.46%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                                    | Provincia de Buenos Aires/Government Bonds                                      | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |      223500 | PA      | $77945.51     | 0.02%             | 2037-09-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      397056 | PA      | $370154.22    | 0.12%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                             | Chevron USA Inc                                                                 | CUSIP: 166756AS5<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9193.08      | 0.00%             | 2029-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                              | Lowe's Cos Inc                                                                  | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      110000 | PA      | $87757.82     | 0.03%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      108083 | PA      | $103866.77    | 0.03%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                                             | Deere & Co                                                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8979.18      | 0.00%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30014 | PA      | $27918.58     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZP6<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29753.55     | 0.01%             | 2023-04-19      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54266 | PA      | $50402.30     | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      140000 | PA      | $137820.84    | 0.04%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27077 | PA      | $24698.16     | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      420000 | PA      | $357730.61    | 0.11%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                            | Peruvian Government International Bond                                          | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      120000 | PA      | $119091.06    | 0.04%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      275000 | PA      | $237144.16    | 0.07%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                  | Pfizer Inc                                                                      | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |       70000 | PA      | $57758.88     | 0.02%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38962.29     | 0.01%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411BC8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       90000 | PA      | $63515.04     | 0.02%             | 2044-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94540 | PA      | $83867.24     | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-37179.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      130000 | PA      | $119143.88    | 0.04%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      630000 | PA      | $585363.33    | 0.18%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                                    | First Quantum Minerals Ltd                                                      | CUSIP: 335934AT2<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |      220000 | PA      | $206862.32    | 0.06%             | 2027-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3600000 | PA      | $3160216.84   | 0.98%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2017-6                                                | CUSIP: 89175JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      200000 | PA      | $175453.24    | 0.05%             | 2057-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       60000 | PA      | $58095.03     | 0.02%             | 2025-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      628922 | PA      | $513620.99    | 0.16%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      360000 | PA      | $331151.44    | 0.10%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                    | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      250000 | PA      | $243486.77    | 0.08%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Transdigm Inc                                                               | TransDigm Inc                                                                   | CUSIP: 89364MBR4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |        9823 | PA      | $9722.56      | 0.00%             | 2025-12-09      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96779 | PA      | $85243.06     | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582AY8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       10000 | PA      | $9077.78      | 0.00%             | 2043-08-12      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | Indonesia Government International Bond                                         | CUSIP: 455780CN4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      290000 | PA      | $224933.01    | 0.07%             | 2049-10-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96912 | PA      | $88559.56     | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60664 | PA      | $59709.00     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                                    | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $123499.16    | 0.04%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust 2022-3                                                 | CUSIP: 03464TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      604406 | PA      | $522901.02    | 0.16%             | 2067-01-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                         | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       70000 | PA      | $61192.30     | 0.02%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      460000 | PA      | $347694.75    | 0.11%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       60000 | PA      | $59694.22     | 0.02%             | 2023-05-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       13000 | PA      | $11776.43     | 0.00%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      258835 | PA      | $227922.67    | 0.07%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      249885 | PA      | $209636.92    | 0.07%             | 2044-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      433047 | PA      | $354022.86    | 0.11%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2019-AFC1 Trust                                                            | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101722 | PA      | $94979.84     | 0.03%             | 2049-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       30000 | PA      | $25521.00     | 0.01%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       79795 | PA      | $11683.40     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -900000 | PA      | $-914581.23   | -0.28%            | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-3277.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HILTON WORLDWIDE FIN LLC                                                    | Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp                    | CUSIP: 432891AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $28606.44     | 0.01%             | 2027-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                     | Becton Dickinson and Co                                                         | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |        9000 | PA      | $8783.10      | 0.00%             | 2024-12-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -2000000 | PA      | $-1875944.88  | -0.58%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      190000 | PA      | $182627.26    | 0.06%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37317.94     | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $184830.19    | 0.06%             | 2026-01-08      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      400000 | PA      | $405683.67    | 0.13%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                          | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      110000 | PA      | $104172.50    | 0.03%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                              | Air Lease Corp                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      220000 | PA      | $208284.06    | 0.06%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2019-RIO                                                                   | CUSIP: 12597HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      476060 | PA      | $475855.71    | 0.15%             | 2022-12-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21392 | PA      | $20778.84     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29072.47     | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 31397EWH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1358421 | PA      | $115444.46    | 0.04%             | 2037-02-15      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1400000 | PA      | $1379528.72   | 0.43%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      360000 | PA      | $345325.55    | 0.11%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                 | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37443.22     | 0.01%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      300000 | PA      | $252599.52    | 0.08%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     7520000 | PA      | $27530.85     | 0.01%             | 2027-02-03      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| TTAN                                                                        | TTAN 2021-MHC                                                                   | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      523020 | PA      | $507340.54    | 0.16%             | 2038-03-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82436 | PA      | $67986.20     | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                                                    | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd            | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      810000 | PA      | $734589.00    | 0.23%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                  | Pfizer Inc                                                                      | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      200000 | PA      | $176157.82    | 0.05%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      100000 | PA      | $88304.77     | 0.03%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      400000 | PA      | $367852.34    | 0.11%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       40000 | PA      | $30405.81     | 0.01%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       91464 | PA      | $78469.40     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Terrier Media Buyer Inc                                                     | CMG Media Corp                                                                  | CUSIP: 88145LAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      134272 | PA      | $126095.90    | 0.04%             | 2026-12-17      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380QAW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      127695 | PA      | $125536.06    | 0.04%             | 2070-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36189EBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       89705 | PA      | $86309.97     | 0.03%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      400000 | PA      | $367609.98    | 0.11%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $43097.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      297994 | PA      | $250569.66    | 0.08%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                                                            | Allied Universal Holdco LLC / Allied Universal Finance Corp                     | CUSIP: 019576AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $9170.60      | 0.00%             | 2026-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       90000 | PA      | $85517.03     | 0.03%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      880000 | PA      | $755019.55    | 0.24%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      120000 | PA      | $95526.81     | 0.03%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       60000 | PA      | $57837.74     | 0.02%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      210000 | PA      | $197818.16    | 0.06%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4680000 | PA      | $3751312.50   | 1.17%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                            | FirstEnergy Corp                                                                | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      150000 | PA      | $134184.54    | 0.04%             | 2047-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94147 | PA      | $91845.68     | 0.03%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      130000 | PA      | $119881.93    | 0.04%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Bank                                                                        | BANK 2017-BNK7                                                                  | CUSIP: 06541XAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      190000 | PA      | $175681.71    | 0.05%             | 2060-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      130000 | PA      | $127341.91    | 0.04%             | 2025-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105617 | PA      | $98093.99     | 0.03%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      246742 | PA      | $233877.51    | 0.07%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -1900000 | PA      | $-1828880.70  | -0.57%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      310000 | PA      | $299603.13    | 0.09%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGYW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $95157.32     | 0.03%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87778 | PA      | $75264.40     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      145664 | PA      | $126960.98    | 0.04%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99786 | PA      | $99071.05     | 0.03%             | 2032-10-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19504 | PA      | $17652.42     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     9680000 | PA      | $1440565.40   | 0.45%             | 2029-05-23      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L1UQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85376 | PA      | $69797.41     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                                                    | Vertiv Group Corp                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |       30000 | PA      | $25535.40     | 0.01%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       60000 | PA      | $59209.92     | 0.02%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                                         | Nigeria Government International Bond                                           | CUSIP: 65412JAC7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      200000 | PA      | $161994.00    | 0.05%             | 2027-11-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Private Education Refi Loan Trust 2019-A                                | CUSIP: 63941BAC9<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |      129568 | PA      | $127567.16    | 0.04%             | 2043-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      190000 | PA      | $128947.78    | 0.04%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8862.83      | 0.00%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                                               | UBS AG/London                                                                   | CUSIP: 902674XN5<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |      400000 | PA      | $339110.66    | 0.11%             | 2048-06-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                                         | Station Casinos LLC                                                             | CUSIP: 85769EAZ4<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |      494574 | PA      | $483651.37    | 0.15%             | 2027-02-08      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      234889 | PA      | $194589.03    | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4LX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21788 | PA      | $20141.58     | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                       | GFL Environmental Inc                                                           | CUSIP: 36168QAJ3<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |       50000 | PA      | $47845.83     | 0.01%             | 2025-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      270000 | PA      | $170439.22    | 0.05%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 913017DD8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       80000 | PA      | $78235.29     | 0.02%             | 2025-08-16      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                       | Northrop Grumman Corp                                                           | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      150000 | PA      | $143966.47    | 0.04%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      600000 | PA      | $470810.16    | 0.15%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                                    | 1011778 BC ULC / New Red Finance Inc                                            | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       30000 | PA      | $26902.51     | 0.01%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       70000 | PA      | $66349.50     | 0.02%             | 2025-02-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46650.11     | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      840000 | PA      | $658733.63    | 0.21%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      469955 | PA      | $418458.20    | 0.13%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18219.37     | 0.01%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         190 | NC      | $-224937.57   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $114863.57    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Private Credit Student Loan Trust 2006-A                                    | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |      323619 | PA      | $304903.78    | 0.09%             | 2039-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18997.10     | 0.01%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                          | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          17 | NC      | $-113439.96   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       80000 | PA      | $55260.35     | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1260000 | PA      | $1147584.38   | 0.36%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| THE VANGUARD GROUP INC                                                      | THE VANGUARD GROUP INC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      120000 | PA      | $77515.08     | 0.02%             | 2050-08-22      | Fixed         | 3.05%                 | No            |                  3 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       90000 | PA      | $77644.60     | 0.02%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| iHeartCommunications Inc                                                    | iHeartCommunications Inc                                                        | CUSIP: 45174UAF5<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |      164138 | PA      | $150956.11    | 0.05%             | 2026-05-01      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                           | General Motors Co                                                               | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       60000 | PA      | $61124.60     | 0.02%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                              | Morgan Stanley Capital I Trust 2007-IQ16                                        | CUSIP: 61756UAH4<br>LEI: 549300XYOVNMTJWOZ135 | Long             | ABS-MBS          | CORP              | US        |       13789 | PA      | $6758.04      | 0.00%             | 2049-12-12      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                    | Benchmark 2020-IG1 Mortgage Trust                                               | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $401007.90    | 0.12%             | 2043-09-15      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                       | Costco Wholesale Corp                                                           | CUSIP: 22160KAP0<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |       90000 | PA      | $73940.91     | 0.02%             | 2030-04-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                              | Wynn Macau Ltd                                                                  | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $171259.00    | 0.05%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190690 | PA      | $156418.71    | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          63 | NC      | $-2569.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Small Business Administration                                               | United States Small Business Administration                                     | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       67673 | PA      | $59245.81     | 0.02%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      167494 | PA      | $149804.36    | 0.05%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      280000 | PA      | $181092.35    | 0.06%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26902 | PA      | $26139.15     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      220000 | PA      | $176075.53    | 0.05%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      280000 | PA      | $267731.75    | 0.08%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| LifePoint Health Inc                                                        | LifePoint Health Inc                                                            | CUSIP: 75915TAD4<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |       68785 | PA      | $65010.38     | 0.02%             | 2025-11-16      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186851 | PA      | $158693.35    | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      700000 | PA      | $685562.50    | 0.21%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                  | Intel Corp                                                                      | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      220000 | PA      | $187297.82    | 0.06%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $24253.50     | 0.01%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9162.24      | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68625.95     | 0.02%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      220000 | PA      | $186183.14    | 0.06%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       92352 | PA      | $77957.12     | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                        | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      190000 | PA      | $186532.11    | 0.06%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VDD3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      290000 | PA      | $267996.86    | 0.08%             | 2026-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43318 | PA      | $40466.82     | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38033 | PA      | $36943.28     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       92699 | PA      | $91121.84     | 0.03%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93310 | PA      | $82287.61     | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                           | EOG Resources Inc                                                               | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       90000 | PA      | $80599.67     | 0.03%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      364178 | PA      | $337963.36    | 0.11%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2060000 | PA      | $1929600.39   | 0.60%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2711600 | PA      | $2224043.78   | 0.69%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1503406.94   | 0.47%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2019-HY2                                              | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      541932 | PA      | $537386.74    | 0.17%             | 2058-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       70000 | PA      | $57203.38     | 0.02%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Mortgage Repurchase Agreement                                               | Mortgage Repurchase Agreement Financing Trust II Series 2022-1                  | CUSIP: 61916TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $456877.06    | 0.14%             | 2025-03-30      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                    | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     4364000 | PA      | $709958.47    | 0.22%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Ali Group North America Corporation                                         | Ali Group North America Corp                                                    | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      442222 | PA      | $439458.33    | 0.14%             | 2029-07-30      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1662073 | PA      | $1443522.05   | 0.45%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67892 | PA      | $64882.81     | 0.02%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHWK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $188978.27    | 0.06%             | 2032-10-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       90000 | PA      | $88738.24     | 0.03%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       70000 | PA      | $70966.94     | 0.02%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49507.13     | 0.02%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28792.50     | 0.01%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                      | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46502.64     | 0.01%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| First Eagle Holdings Inc                                                    | First Eagle Holdings Inc                                                        | CUSIP: 05554JAH0<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |       46621 | PA      | $45554.83     | 0.01%             | 2027-02-01      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Bank                                                                        | BANK 2017-BNK7                                                                  | CUSIP: 06541XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2975368 | PA      | $75241.70     | 0.02%             | 2060-09-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                  | Intel Corp                                                                      | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39052.61     | 0.01%             | 2025-07-29      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      695545 | PA      | $680162.59    | 0.21%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |        5000 | PA      | $4442.90      | 0.00%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      460000 | PA      | $417665.63    | 0.13%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       30000 | PA      | $23483.85     | 0.01%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       13000 | PA      | $12501.01     | 0.00%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1530000 | PA      | $1330143.75   | 0.41%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10893.73     | 0.00%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                       | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      220000 | PA      | $217933.21    | 0.07%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YK2P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33852 | PA      | $31551.83     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32309.19     | 0.01%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29851.66     | 0.01%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63251 | PA      | $59159.70     | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2003-10                                                  | CUSIP: 78442GJH0<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |      100884 | PA      | $97830.14     | 0.03%             | 2068-12-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                           | EOG Resources Inc                                                               | CUSIP: 26875PAP6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29444.43     | 0.01%             | 2026-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      320000 | PA      | $253928.23    | 0.08%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                    | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |       60000 | PA      | $49124.70     | 0.02%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18478 | PA      | $15138.09     | 0.00%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      747125 | PA      | $121652.20    | 0.04%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                              | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18574.36     | 0.01%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       80000 | PA      | $70692.85     | 0.02%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382LLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      318950 | PA      | $33729.46     | 0.01%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3280000 | PA      | $3187237.50   | 0.99%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                                    | 1011778 BC ULC / New Red Finance Inc                                            | CUSIP: 68245XAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       30000 | PA      | $25771.92     | 0.01%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2590000 | PA      | $1542011.12   | 0.48%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       27000 | PA      | $16820.72     | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      110000 | PA      | $100125.90    | 0.03%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                                      | Brazilian Government International Bond                                         | CUSIP: 105756BZ2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      200000 | PA      | $192049.45    | 0.06%             | 2028-01-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                            | Williams Cos Inc/The                                                            | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      160000 | PA      | $176978.11    | 0.06%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                          | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      190000 | PA      | $177698.51    | 0.06%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $95283.80     | 0.03%             | 2032-08-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBL5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9907.40      | 0.00%             | 2023-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      438278 | PA      | $338956.26    | 0.11%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       20000 | PA      | $14188.26     | 0.00%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBZ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16068.07     | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                     | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $16855.20     | 0.01%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7570.73      | 0.00%             | 2049-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                                    | Virgin Media Bristol LLC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      280000 | PA      | $275825.20    | 0.09%             | 2028-01-31      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378KZQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2354949 | PA      | $29256.00     | 0.01%             | 2054-10-16      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LP                                                       | Citadel Securities LP                                                           | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |      157156 | PA      | $154562.54    | 0.05%             | 2028-02-02      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1630000 | PA      | $1291062.20   | 0.40%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9978.80      | 0.00%             | 2026-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KVHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82992 | PA      | $68291.22     | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KVQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86177 | PA      | $71071.75     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       70000 | PA      | $58484.74     | 0.02%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O                                              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528PAK2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |      280000 | PA      | $263538.63    | 0.08%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188344 | PA      | $161047.22    | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                | Alphabet Inc                                                                    | CUSIP: 02079KAH0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18073.81     | 0.01%             | 2025-08-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       80426 | PA      | $69365.27     | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CINTAS CORPORATION NO. 2                                                    | Cintas Corp No 2                                                                | CUSIP: 17252MAN0<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |      160000 | PA      | $154485.03    | 0.05%             | 2027-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         202 | NC      | $-46704.54    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INTEL CORP                                                                  | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       70000 | PA      | $61115.92     | 0.02%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                                       | Phoenix Guarantor Inc                                                           | CUSIP: 71913BAE2<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |      493815 | PA      | $464185.82    | 0.14%             | 2026-03-05      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140544 | PA      | $130902.79    | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAF1<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      140000 | PA      | $122448.74    | 0.04%             | 2030-04-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                              | Wells Fargo Commercial Mortgage Trust 2017-RB1                                  | CUSIP: 95000TBV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1779541 | PA      | $71411.04     | 0.02%             | 2050-03-15      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                              | Salesforce Inc                                                                  | CUSIP: 79466LAF1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28831.52     | 0.01%             | 2028-04-11      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33154.95     | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                                      | Barrick North America Finance LLC                                               | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      270000 | PA      | $272458.86    | 0.08%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      136000 | PA      | $131798.52    | 0.04%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17631.59     | 0.01%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      164675 | PA      | $25506.93     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                      | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32437.43     | 0.01%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96031 | PA      | $89192.18     | 0.03%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95469 | PA      | $87781.49     | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79566 | PA      | $68483.23     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hilton Worldwide Finance LLC                                                | Hilton Worldwide Finance LLC                                                    | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |      188276 | PA      | $187912.03    | 0.06%             | 2026-06-22      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                                              | VOC Escrow Ltd                                                                  | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       80000 | PA      | $68934.40     | 0.02%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38659 | PA      | $36510.56     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Jazz Financing Lux Sarl                                                     | Jazz Financing Lux Sarl                                                         | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |      436976 | PA      | $433801.15    | 0.14%             | 2028-05-05      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617WHHM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       62052 | PA      | $55555.25     | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      250962 | PA      | $240390.90    | 0.07%             | 2053-01-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| KCAD HOLDINGS I LIMITED                                                     | KCAD HOLDINGS I LIMITED                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   108106087 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $20467.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X83T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86876 | PA      | $74015.43     | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    43880000 | PA      | $160645.42    | 0.05%             | 2030-04-10      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                                              | MF1 2022-FL8 Ltd                                                                | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $481935.19    | 0.15%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                             | CDS CDX.NA.HY.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-21424.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                                                    | Principal Life Global Funding II                                                | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27311.53     | 0.01%             | 2025-06-23      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       37000 | PA      | $45658.96     | 0.01%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AL4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       70000 | PA      | $66753.84     | 0.02%             | 2028-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -39 | NC      | $-1523.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MHC Commercial Mortgage Trust                                               | MHC Trust 2021-MHC2                                                             | CUSIP: 55293AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $106836.52    | 0.03%             | 2038-05-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      170402 | PA      | $146361.93    | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      180000 | PA      | $176467.78    | 0.05%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F9R37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      530201 | PA      | $68162.06     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      670000 | PA      | $683976.87    | 0.21%             | 2042-12-25      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                      | Open Text Holdings Inc                                                          | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $7787.40      | 0.00%             | 2031-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       60000 | PA      | $53049.71     | 0.02%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       30000 | PA      | $23058.75     | 0.01%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9719.94      | 0.00%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       60000 | PA      | $58896.59     | 0.02%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       70000 | PA      | $52018.66     | 0.02%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      250000 | PA      | $219321.36    | 0.07%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38755.34     | 0.01%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          32 | NC      | $34757.53     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | Southwestern Energy Co                                                          | CUSIP: 845467AL3<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1377779.68   | 0.43%             | 2025-01-23      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                 | Walmart Inc                                                                     | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       50000 | PA      | $42943.57     | 0.01%             | 2028-09-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27350 | PA      | $25443.76     | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                  | US Bancorp                                                                      | CUSIP: 91159HHZ6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      180000 | PA      | $167056.37    | 0.05%             | 2025-05-12      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       30000 | PA      | $32934.75     | 0.01%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52804 | PA      | $49041.04     | 0.02%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                                     | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      590000 | PA      | $568498.81    | 0.18%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     1090000 | PA      | $916194.05    | 0.29%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                                               | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $234036.58    | 0.07%             | 2039-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection LLC                                               | Caesars Resort Collection LLC                                                   | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |       55017 | PA      | $54964.44     | 0.02%             | 2024-12-23      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-162449.72   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4KF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25632 | PA      | $23537.49     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69586 | PA      | $10413.16     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18614.00     | 0.01%             | 2027-03-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1800000 | PA      | $1746826.96   | 0.54%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| USAA CAPITAL CORP                                                           | USAA Capital Corp                                                               | CUSIP: 90327QD55<br>LEI: 5493007XLF4LU3U2W757 | Long             | DBT              | CORP              | US        |      150000 | PA      | $123285.44    | 0.04%             | 2030-05-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9627.52      | 0.00%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                                     | Procter & Gamble Co/The                                                         | CUSIP: 742718FG9<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18759.46     | 0.01%             | 2027-03-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAC0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      190000 | PA      | $183688.29    | 0.06%             | 2025-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          14 | NC      | $-63795.39    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H7XD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      300000 | PA      | $233568.87    | 0.07%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37846.29     | 0.01%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $83982.29     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                    | Cooperatieve Rabobank UA                                                        | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      250000 | PA      | $244258.55    | 0.08%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                       | Level 3 Financing Inc                                                           | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |       82433 | PA      | $79201.76     | 0.02%             | 2027-03-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36163.40     | 0.01%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411AY1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8233.99      | 0.00%             | 2042-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                           | EOG Resources Inc                                                               | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19382.98     | 0.01%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                       | Northrop Grumman Corp                                                           | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      180000 | PA      | $166320.61    | 0.05%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                    | JP MORGAN MORTGAGE TRUST 2018-5                                                 | CUSIP: 46649KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71240 | PA      | $62744.82     | 0.02%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      137007 | PA      | $14429.31     | 0.00%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      162600 | PA      | $146192.73    | 0.05%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      682855 | PA      | $675904.99    | 0.21%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2020-A                                         | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      152254 | PA      | $139035.50    | 0.04%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63398 | PA      | $56556.09     | 0.02%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      400000 | PA      | $253913.13    | 0.08%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                                              | ILPT Commercial Mortgage Trust 2022-LPF2                                        | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      810000 | PA      | $811578.93    | 0.25%             | 2039-10-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Ziggo Financing Partnership                                                 | Ziggo Financing Partnership                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      200000 | PA      | $195485.00    | 0.06%             | 2028-04-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                                           | L3Harris Technologies Inc                                                       | CUSIP: 413875AT2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       60000 | PA      | $54069.80     | 0.02%             | 2045-04-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      700000 | PA      | $677141.28    | 0.21%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                         | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $171191.30    | 0.05%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES                                                      | H&E Equipment Services Inc                                                      | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |     1120000 | PA      | $955970.40    | 0.30%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58426 | PA      | $49931.48     | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | Royal Bank of Canada                                                            | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $198292.97    | 0.06%             | 2023-04-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      110000 | PA      | $103280.52    | 0.03%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      900000 | PA      | $912753.11    | 0.28%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132ADME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49471 | PA      | $44714.48     | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92923 | PA      | $79538.49     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                 | PRKCM 2022-AFC1 Trust                                                           | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      622317 | PA      | $585388.14    | 0.18%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -300000 | PA      | $-272584.57   | -0.08%            | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      202984 | PA      | $199702.88    | 0.06%             | 2042-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2500000 | PA      | $2322998.05   | 0.72%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      260000 | PA      | $244343.74    | 0.08%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Nexstar Broadcasting Inc                                                    | Nexstar Media Inc                                                               | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |      154259 | PA      | $153275.85    | 0.05%             | 2026-09-18      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6000000 | PA      | $5206875.00   | 1.62%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91685 | PA      | $77394.17     | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                              | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      410000 | PA      | $369787.69    | 0.12%             | 2034-09-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B1TH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94457 | PA      | $77446.01     | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                         | Cheniere Energy Inc                                                             | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |      950000 | PA      | $860502.73    | 0.27%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $135645.00    | 0.04%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6300000 | PA      | $5335993.28   | 1.66%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      340000 | PA      | $272011.90    | 0.08%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       37763 | PA      | $10118.87     | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-59486.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                                                | Hardee's Funding LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      226550 | PA      | $181225.43    | 0.06%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94567 | PA      | $86770.42     | 0.03%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                                                            | APi Group DE Inc                                                                | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |      169756 | PA      | $168871.29    | 0.05%             | 2026-10-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAS8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      640000 | PA      | $325302.08    | 0.10%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       90000 | PA      | $87915.29     | 0.03%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      260000 | PA      | $198510.10    | 0.06%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                  | 3M Co                                                                           | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |      120000 | PA      | $105631.90    | 0.03%             | 2030-04-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                            | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      200000 | PA      | $186489.69    | 0.06%             | 2027-07-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    41430000 | PA      | $1857243.55   | 0.58%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                       | Texas Instruments Inc                                                           | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41218.83     | 0.01%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      230000 | PA      | $211019.82    | 0.07%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100000 | PA      | $86768.62     | 0.03%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17864.40     | 0.01%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5704.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                    | Lloyds Banking Group PLC                                                        | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      400000 | PA      | $360369.78    | 0.11%             | 2028-11-07      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4900000 | PA      | $4452214.58   | 1.39%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2021-DNA1                                         | CUSIP: 35564KAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100124 | PA      | $97817.73     | 0.03%             | 2051-01-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      144000 | PA      | $138742.18    | 0.04%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -400000 | PA      | $-394213.56   | -0.12%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Deerfield Dakota Holding LLC                                                | Deerfield Dakota Holding LLC                                                    | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |      493057 | PA      | $461703.74    | 0.14%             | 2027-04-09      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83788 | PA      | $74164.42     | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      661279 | PA      | $564037.25    | 0.18%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                 | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8548.60      | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                                    | Pioneer Natural Resources Co                                                    | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |       30000 | PA      | $23560.99     | 0.01%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      410000 | PA      | $366480.64    | 0.11%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           1 | NC      | $312.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      170000 | PA      | $165827.53    | 0.05%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                        | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      270000 | PA      | $230534.38    | 0.07%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28514.49     | 0.01%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48476.09     | 0.02%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94000 | PA      | $80497.93     | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       80000 | PA      | $63633.44     | 0.02%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       80000 | PA      | $71193.79     | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92540 | PA      | $78116.36     | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      230605 | PA      | $206885.17    | 0.06%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                               | CommScope Inc                                                                   | CUSIP: 20338QAD5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36998.00     | 0.01%             | 2026-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       60000 | PA      | $43643.40     | 0.01%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2017-6                                      | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      222582 | PA      | $208926.89    | 0.07%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                             | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $450276.99    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                      | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $192794.58    | 0.06%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                              | BCAP LLC 2015-RR6 Trust                                                         | CUSIP: 05490QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147012 | PA      | $145940.11    | 0.05%             | 2037-05-26      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                                               | First Franklin Mortgage Loan Trust 2006-FF15                                    | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133624 | PA      | $130601.34    | 0.04%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                                              | Structured Asset Securities Corp Mortgage Loan Trust 2007-WF1                   | CUSIP: 86358BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      255699 | PA      | $246555.99    | 0.08%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67961 | PA      | $52868.68     | 0.02%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Setanta Aircraft Leasing DAC                                                | Setanta Aircraft Leasing DAC                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |      490000 | PA      | $488530.00    | 0.15%             | 2028-11-05      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | EUR/NOK FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1981.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18458.80     | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                              | Mastercard Inc                                                                  | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16798.45     | 0.01%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      200000 | PA      | $199903.36    | 0.06%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | Hanesbrands Inc                                                                 | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9701.58      | 0.00%             | 2024-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       80000 | PA      | $76243.58     | 0.02%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87938 | PA      | $72360.07     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Corp Trust 2021-ROSS                                     | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      290000 | PA      | $271749.52    | 0.08%             | 2026-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                   | Amgen Inc                                                                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       29000 | PA      | $25104.37     | 0.01%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       30000 | PA      | $23487.91     | 0.01%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      160000 | PA      | $158650.43    | 0.05%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88246 | PA      | $75796.73     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       68000 | PA      | $54995.16     | 0.02%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       70000 | PA      | $67050.75     | 0.02%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NAN9<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $84902.92     | 0.03%             | 2115-06-05      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $958506.13    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88821 | PA      | $76770.80     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                  | 3M Co                                                                           | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |      100000 | PA      | $77043.35     | 0.02%             | 2050-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       42000 | PA      | $29254.02     | 0.01%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X8HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48067 | PA      | $44131.56     | 0.01%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280BB4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      420000 | PA      | $400536.18    | 0.12%             | 2026-05-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5700000 | PA      | $4940912.82   | 1.54%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9957.75      | 0.00%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91903 | PA      | $82114.38     | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AmWINS Group Inc                                                            | AmWINS Group Inc                                                                | CUSIP: 03234TAW8<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |       38251 | PA      | $37620.16     | 0.01%             | 2028-02-19      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100000 | PA      | $76000.83     | 0.02%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      267381 | PA      | $225705.46    | 0.07%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -3100000 | PA      | $-2523179.93  | -0.79%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                                 | Allied Universal Holdco LLC                                                     | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |      469162 | PA      | $446644.30    | 0.14%             | 2028-05-12      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       80000 | PA      | $65639.65     | 0.02%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                             | Danske Bank A/S                                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      500000 | PA      | $460488.46    | 0.14%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      301000 | PA      | $190746.99    | 0.06%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGGA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284751 | PA      | $260355.39    | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           6 | NC      | $787.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -400000 | PA      | $-405668.05   | -0.13%            | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                              | Salesforce Inc                                                                  | CUSIP: 79466LAE4<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49825.45     | 0.02%             | 2023-04-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VFH Parent LLC                                                              | VFH Parent LLC                                                                  | CUSIP: 000000000<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |       80000 | PA      | $78120.00     | 0.02%             | 2029-01-13      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |       38811 | PA      | $35217.20     | 0.01%             | 2047-11-16      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     2000000 | PA      | $102953.34    | 0.03%             | 2024-12-05      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       60000 | PA      | $50872.85     | 0.02%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L2PV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84079 | PA      | $68894.49     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      880000 | PA      | $581745.31    | 0.18%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CH6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       90000 | PA      | $84361.05     | 0.03%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                             | Chevron USA Inc                                                                 | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38676.04     | 0.01%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89208 | PA      | $73321.23     | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                    | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       77436 | PA      | $59031.08     | 0.02%             | 2061-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79709 | PA      | $12540.11     | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48871 | PA      | $46761.32     | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                         | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      170000 | PA      | $162253.45    | 0.05%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHD61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      187753 | PA      | $159727.05    | 0.05%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8240.02      | 0.00%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41649.38     | 0.01%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                   | Apple Inc                                                                       | CUSIP: 037833DT4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      290000 | PA      | $267242.76    | 0.08%             | 2025-05-11      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90568 | PA      | $77797.52     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94099 | PA      | $80582.43     | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      490000 | PA      | $465661.36    | 0.15%             | 2042-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                         | Gilead Sciences Inc                                                             | CUSIP: 375558AZ6<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48452.36     | 0.02%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                              | Lowe's Cos Inc                                                                  | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38431.89     | 0.01%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                          | Ford Motor Co                                                                   | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       30000 | PA      | $21601.44     | 0.01%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80720 | PA      | $72381.72     | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                                    | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |        8000 | PA      | $8847.51      | 0.00%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AWWM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94792 | PA      | $77359.09     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                         | Carrier Global Corp                                                             | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7176.16      | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                         | Elevance Health Inc                                                             | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      220000 | PA      | $207822.73    | 0.06%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XARA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76526 | PA      | $65795.81     | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                                                     | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $8660.30      | 0.00%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      145952 | PA      | $118269.66    | 0.04%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $18848.10     | 0.01%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      160000 | PA      | $152907.09    | 0.05%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94372 | PA      | $78182.36     | 0.02%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                        | Charter Communications Operating LLC                                            | CUSIP: 16117LBW8<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |      145456 | PA      | $145024.34    | 0.05%             | 2025-04-30      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming Inc                                                       | Genesee & Wyoming Inc                                                           | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |      441406 | PA      | $439668.60    | 0.14%             | 2026-12-30      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      475963 | PA      | $412801.47    | 0.13%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $2813917.32   | 0.88%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                                    | Berkshire Hathaway Energy Co                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       97000 | PA      | $102173.20    | 0.03%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Rackspace Technology Global Inc                                             | Rackspace Technology Global Inc                                                 | CUSIP: 75009XAB6<br>LEI: 549300QTYCKLMFSE8I97 | Long             | LON              | CORP              | US        |      118100 | PA      | $74409.79     | 0.02%             | 2028-02-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                    | Constellation Brands Inc                                                        | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       90000 | PA      | $71720.84     | 0.02%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      100000 | PA      | $84888.12     | 0.03%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                   | Apple Inc                                                                       | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      100000 | PA      | $92868.85     | 0.03%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       60000 | PA      | $67652.16     | 0.02%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                                                 | United States Treasury Strip Principal                                          | CUSIP: 912803FJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      950000 | PA      | $335199.38    | 0.10%             | 2049-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      861000 | PA      | $781114.13    | 0.24%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82968 | PA      | $77501.35     | 0.02%             | 2028-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $94289.78     | 0.03%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136APB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      184234 | PA      | $6298.49      | 0.00%             | 2055-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      320000 | PA      | $306963.12    | 0.10%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AWL77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94479 | PA      | $77104.19     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9824.37      | 0.00%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9590.27      | 0.00%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55208.22     | 0.02%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                 | PRKCM 2021-AFC1 Trust                                                           | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      205856 | PA      | $163364.83    | 0.05%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Grifols Worldwide Operations USA Inc                                        | Grifols Worldwide Operations USA Inc                                            | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      449904 | PA      | $436033.02    | 0.14%             | 2027-11-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $27827.84     | 0.01%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                    | NIKE Inc                                                                        | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32663.71     | 0.01%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      180472 | PA      | $155163.71    | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      257059 | PA      | $219223.36    | 0.07%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NAV1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     1114000 | PA      | $1108787.23   | 0.35%             | 2025-01-27      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO                                               | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |      320000 | PA      | $270192.02    | 0.08%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       40000 | PA      | $25761.37     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | Hanesbrands Inc                                                                 | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44766.05     | 0.01%             | 2026-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45192.65     | 0.01%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                        | Lockheed Martin Corp                                                            | CUSIP: 539830BH1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29176.54     | 0.01%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      270000 | PA      | $252365.67    | 0.08%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42517 | PA      | $38764.27     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39141.29     | 0.01%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      240000 | PA      | $197958.54    | 0.06%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      250000 | PA      | $229905.42    | 0.07%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    45120000 | PA      | $2093652.28   | 0.65%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Instar Leasing III, LLC                                                     | InStar Leasing III LLC                                                          | CUSIP: 45783NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       99945 | PA      | $82784.83     | 0.03%             | 2054-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      190000 | PA      | $138793.13    | 0.04%             | 2041-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                                    | Pioneer Natural Resources Co                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17847.82     | 0.01%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21435.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -19 | NC      | $7310.83      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8271.81      | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -1800000 | PA      | $-1746405.07  | -0.54%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7D68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      281171 | PA      | $262992.97    | 0.08%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                              | Halliburton Co                                                                  | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |        2000 | PA      | $1947.49      | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42869 | PA      | $42127.38     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4530000 | PA      | $3102253.72   | 0.97%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                        | Colombia Government International Bond                                          | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      400000 | PA      | $251529.74    | 0.08%             | 2042-02-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2018-RPL1                                   | CUSIP: 64829VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $193716.72    | 0.06%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      350000 | PA      | $335082.78    | 0.10%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      111875 | PA      | $110016.79    | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      440000 | PA      | $385077.00    | 0.12%             | 2030-02-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      110000 | PA      | $89535.07     | 0.03%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                                                | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120000 | PA      | $115368.07    | 0.04%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36189ML55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      345759 | PA      | $334915.61    | 0.10%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102337.00    | 0.03%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272AH1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      130000 | PA      | $128361.69    | 0.04%             | 2024-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XB2V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90166 | PA      | $74108.23     | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       60000 | PA      | $38130.59     | 0.01%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       82310 | PA      | $12196.55     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8969.40      | 0.00%             | 2029-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       94609 | PA      | $84727.62     | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                       | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |       80000 | PA      | $68474.24     | 0.02%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1290000 | PA      | $801815.63    | 0.25%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      130000 | PA      | $124436.77    | 0.04%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Brown Group Holding LLC                                                     | Brown Group Holding LLC                                                         | CUSIP: 11565HAB2<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |      118395 | PA      | $116438.18    | 0.04%             | 2028-06-07      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                                       | Jane Street Group LLC                                                           | CUSIP: 47077DAG5<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |      394148 | PA      | $383215.92    | 0.12%             | 2028-01-26      | Floating      | 7.13%                 | No            |                  2 | 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      | $7643.85      | 0.00%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      320000 | PA      | $308496.60    | 0.10%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-E                                         | CUSIP: 78450MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      152561 | PA      | $137776.27    | 0.04%             | 2051-02-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      288649 | PA      | $265406.38    | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -1100000 | PA      | $-1102498.42  | -0.34%            | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      448510 | PA      | $416554.56    | 0.13%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      100000 | PA      | $80819.93     | 0.03%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23540 | PA      | $21896.56     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | Mexico Government International Bond                                            | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      730000 | PA      | $566093.55    | 0.18%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CTR PARTNERSHIP/CARETRST                                                    | CTR Partnership LP / CareTrust Capital Corp                                     | CUSIP: 126458AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $16982.73     | 0.01%             | 2028-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1986.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne                                              | Oak Street Investment Grade Net Lease Fund Series 2020-1                        | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      212007 | PA      | $188414.81    | 0.06%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                    | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112131 | PA      | $84843.21     | 0.03%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      187221 | PA      | $160328.29    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      154683 | PA      | $150026.60    | 0.05%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28265.35     | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -200000 | PA      | $-197075.53   | -0.06%            | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       40000 | PA      | $34050.00     | 0.01%             | N/A             | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      270000 | PA      | $253468.61    | 0.08%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |       70000 | PA      | $61565.79     | 0.02%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -85 | NC      | $18378.63     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-79131.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $187727.18    | 0.06%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90933 | PA      | $79846.25     | 0.02%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc                                                | Univision Communications Inc                                                    | CUSIP: 914908BC1<br>LEI: 549300YQDE2JSGTL8V47 | Long             | LON              | CORP              | US        |      139980 | PA      | $138055.70    | 0.04%             | 2026-03-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $189467.05    | 0.06%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Horizon Therapeutics USA Inc                                                | Horizon Therapeutics USA Inc                                                    | CUSIP: 44055UAD7<br>LEI: 254900IS87RLPXY88S03 | Long             | LON              | CORP              | US        |       58156 | PA      | $58171.76     | 0.02%             | 2028-03-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      120000 | PA      | $87061.21     | 0.03%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BR4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       80000 | PA      | $74701.79     | 0.02%             | 2026-08-08      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGKB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       86221 | PA      | $71108.07     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379FFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      117248 | PA      | $20974.19     | 0.01%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6CG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42898 | PA      | $39410.46     | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       60000 | PA      | $52961.67     | 0.02%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  1447000000 | PA      | $89594.56     | 0.03%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      160000 | PA      | $138841.07    | 0.04%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                         | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      180000 | PA      | $167963.12    | 0.05%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                                     | DCP Midstream Operating LP                                                      | CUSIP: 26439XAH6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19745.76     | 0.01%             | 2036-11-03      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -500000 | PA      | $-502561.43   | -0.16%            | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                            | Bank of Montreal                                                                | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       30000 | PA      | $26463.98     | 0.01%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |       80000 | PA      | $73052.86     | 0.02%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      750000 | PA      | $538344.73    | 0.17%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                            | Freddie Mac Strips                                                              | CUSIP: 31352DC24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22980 | PA      | $899.43       | 0.00%             | 2038-02-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19150.26     | 0.01%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      115321 | PA      | $112293.78    | 0.03%             | 2024-11-03      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582BF8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      160000 | PA      | $140599.44    | 0.04%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19200.36     | 0.01%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                      | Philip Morris International Inc                                                 | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       60000 | PA      | $59263.69     | 0.02%             | 2023-05-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $24684.00     | 0.01%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      990000 | PA      | $945529.04    | 0.29%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      840568 | PA      | $752879.83    | 0.23%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26947.99     | 0.01%             | 2045-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       68775 | PA      | $60393.39     | 0.02%             | 2027-07-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Magenta Buyer LLC                                                           | Magenta Buyer LLC                                                               | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      496045 | PA      | $427064.74    | 0.13%             | 2028-07-27      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      863509 | PA      | $176996.82    | 0.06%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                                                    | Virgin Media Secured Finance PLC                                                | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      210000 | PA      | $188593.65    | 0.06%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC                                                            | UFC Holdings LLC                                                                | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |      171689 | PA      | $169757.82    | 0.05%             | 2026-04-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                    | NIKE Inc                                                                        | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65485.84     | 0.02%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                                                   | Triton Water Holdings Inc                                                       | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |      166971 | PA      | $155846.24    | 0.05%             | 2028-03-31      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    37190000 | PA      | $136153.22    | 0.04%             | 2039-03-16      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -9 | NC      | $-984.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      700000 | PA      | $701945.37    | 0.22%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                                              | Structured Asset Investment Loan Trust 2004-7                                   | CUSIP: 86358EKJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      108132 | PA      | $103976.76    | 0.03%             | 2034-08-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1900000 | PA      | $1882682.39   | 0.59%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Gainwell Acquisition Corp                                                   | Gainwell Acquisition Corp                                                       | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      483547 | PA      | $455138.49    | 0.14%             | 2027-10-01      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      300000 | PA      | $251164.57    | 0.08%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $8427.40      | 0.00%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WYETH LLC                                                                   | Wyeth LLC                                                                       | CUSIP: 983024AN0<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10797.62     | 0.00%             | 2037-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                             | Danske Bank A/S                                                                 | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      200000 | PA      | $187332.34    | 0.06%             | 2025-12-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       60000 | PA      | $59413.83     | 0.02%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                                          | TSE Japanese 10 Year Bond s                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |          -4 | NC      | $77695.82     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132AEFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27740 | PA      | $26841.70     | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                          | Ford Motor Co                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     2170000 | PA      | $1631236.09   | 0.51%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                              | Halliburton Co                                                                  | CUSIP: 406216BK6<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8902.32      | 0.00%             | 2045-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448EY0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98718.91     | 0.03%             | 2023-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      189999 | PA      | $23422.66     | 0.01%             | 2042-04-16      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38091 | PA      | $34558.62     | 0.01%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       78933 | PA      | $65243.51     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81371 | PA      | $70150.58     | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                           | Clarios Global LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | CA        |      191274 | PA      | $188086.50    | 0.06%             | 2026-04-30      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19774.98     | 0.01%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90084 | PA      | $77464.93     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      200000 | PA      | $179764.19    | 0.06%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Trust 2017-CHOP                                                            | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      714000 | PA      | $648894.91    | 0.20%             | 2032-07-15      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29955.11     | 0.01%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 75513EBX8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38547.73     | 0.01%             | 2024-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PRA Health Sciences Inc                                                     | PRA Health Sciences Inc                                                         | CUSIP: 000000000<br>LEI: 549300R1HR1VWWHIAK47 | Long             | LON              | CORP              | US        |       31908 | PA      | $31852.03     | 0.01%             | 2028-07-03      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          45 | NC      | $14062.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMTH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       84080 | PA      | $68765.18     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37756.37     | 0.01%             | 2027-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31490.67     | 0.01%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                     | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BQ8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19791.41     | 0.01%             | 2023-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                  | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       30000 | PA      | $19557.56     | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       50000 | PA      | $38482.25     | 0.01%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      300000 | PA      | $216134.60    | 0.07%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      219889 | PA      | $198176.39    | 0.06%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      690000 | PA      | $622818.39    | 0.19%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                                    | EQM Midstream Partners LP                                                       | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8959.53      | 0.00%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382QCY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1454698 | PA      | $213608.99    | 0.07%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                                    | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       60000 | PA      | $60298.20     | 0.02%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      380000 | PA      | $108143.87    | 0.03%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CAW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       10000 | PA      | $9616.03      | 0.00%             | 2023-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      515206 | PA      | $480617.19    | 0.15%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      183389 | PA      | $24842.94     | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      270000 | PA      | $236320.68    | 0.07%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      500000 | PA      | $480056.50    | 0.15%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       90000 | PA      | $43475.63     | 0.01%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      300000 | PA      | $259655.23    | 0.08%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66936 | PA      | $60023.82     | 0.02%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $90119.57     | 0.03%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       80000 | PA      | $73669.29     | 0.02%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      210000 | PA      | $199269.42    | 0.06%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      300000 | PA      | $272774.10    | 0.08%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      300000 | PA      | $234314.70    | 0.07%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       40000 | PA      | $26894.86     | 0.01%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                                      | Santander Holdings USA Inc                                                      | CUSIP: 80282KAE6<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68500.28     | 0.02%             | 2025-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                              | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      170000 | PA      | $114415.10    | 0.04%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $108828.31    | 0.03%             | 2033-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       90000 | PA      | $78033.62     | 0.02%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55717.56     | 0.02%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                                     | Procter & Gamble Co/The                                                         | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45802.81     | 0.01%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32804 | PA      | $30066.49     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       84462 | PA      | $13149.93     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                                    | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AH4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29152.95     | 0.01%             | 2028-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       30000 | PA      | $23580.25     | 0.01%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1530000 | PA      | $1361520.70   | 0.42%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      290000 | PA      | $252963.52    | 0.08%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                                 | Cargill Inc                                                                     | CUSIP: 141781BL7<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |       80000 | PA      | $78388.86     | 0.02%             | 2023-07-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93849 | PA      | $79219.48     | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AX6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      590000 | PA      | $515404.75    | 0.16%             | N/A             | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFB5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19071.56     | 0.01%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                       | Republic Services Inc                                                           | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |       80000 | PA      | $76712.66     | 0.02%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18940.00     | 0.01%             | N/A             | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      690000 | PA      | $488067.19    | 0.15%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      240000 | PA      | $217030.80    | 0.07%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967GT2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19906.42     | 0.01%             | 2023-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136AC7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49039 | PA      | $45875.61     | 0.01%             | 2043-02-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                    | International Business Machines Corp                                            | CUSIP: 459200JY8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      200000 | PA      | $194612.33    | 0.06%             | 2024-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16718.73     | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      750000 | PA      | $688146.98    | 0.21%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27992.23     | 0.01%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      530000 | PA      | $429828.15    | 0.13%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       80000 | PA      | $65253.00     | 0.02%             | 2030-05-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-NQM7                                                                  | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109455 | PA      | $90075.82     | 0.03%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      580000 | PA      | $462024.55    | 0.14%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      327486 | PA      | $314431.41    | 0.10%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                                                        | Southern Copper Corp                                                            | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |      450000 | PA      | $430437.32    | 0.13%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                | Chevron Corp                                                                    | CUSIP: 166764BW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       90000 | PA      | $83802.46     | 0.03%             | 2025-05-11      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Student Loan Trust 2016-3                                               | CUSIP: 63940HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      270725 | PA      | $267476.81    | 0.08%             | 2065-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves                     | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |    24914150 | NS      | $24914149.80  | 7.76%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       20000 | PA      | $19111.77     | 0.01%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      120000 | PA      | $110146.80    | 0.03%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MEG ENERGY CORP                                                             | MEG Energy Corp                                                                 | CUSIP: 552704AF5<br>LEI: 5493002WXPTG5ZC1T326 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $18886.00     | 0.01%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      230000 | PA      | $215576.68    | 0.07%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      470000 | PA      | $438167.23    | 0.14%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      250000 | PA      | $220764.95    | 0.07%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $31679.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79706 | PA      | $66410.47     | 0.02%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       91415 | PA      | $75283.81     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       30000 | PA      | $20436.97     | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                           | EOG Resources Inc                                                               | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      170000 | PA      | $162731.83    | 0.05%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448EQ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9527.05      | 0.00%             | 2025-03-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBH6<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $135388.61    | 0.04%             | 2051-12-02      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      131396 | PA      | $130216.09    | 0.04%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                  | Pfizer Inc                                                                      | CUSIP: 717081EX7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      120000 | PA      | $110000.53    | 0.03%             | 2025-05-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Energizer Holdings Inc                                                      | Energizer Holdings Inc                                                          | CUSIP: 000000000<br>LEI: 5493000D6NN0V57UME20 | Long             | LON              | CORP              | US        |       48083 | PA      | $47301.98     | 0.01%             | 2027-12-22      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                         | Abbott Laboratories                                                             | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |       86000 | PA      | $83848.83     | 0.03%             | 2026-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                                      | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      380000 | PA      | $319124.67    | 0.10%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       90000 | PA      | $85705.63     | 0.03%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                         | American Express Co                                                             | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      110000 | PA      | $107817.95    | 0.03%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      270000 | PA      | $259463.52    | 0.08%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30497 | PA      | $29258.82     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BX1<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      200000 | PA      | $196539.62    | 0.06%             | 2024-02-06      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      110000 | PA      | $100063.56    | 0.03%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      200000 | PA      | $188566.84    | 0.06%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       80000 | PA      | $57768.65     | 0.02%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Prime Security Services Borrower, LLC (aka Protection 1 Security Solutions) | Prime Security Services Borrower LLC                                            | CUSIP: 03765VAK6<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |      376278 | PA      | $373456.32    | 0.12%             | 2026-09-23      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7368.74      | 0.00%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                         | Bank of Nova Scotia/The                                                         | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |       80000 | PA      | $73369.52     | 0.02%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                                              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3              | CUSIP: 16678RBU0<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |      255453 | PA      | $230222.16    | 0.07%             | 2035-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      230000 | PA      | $230180.04    | 0.07%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       60000 | PA      | $50773.59     | 0.02%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378D2U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      362281 | PA      | $36905.99     | 0.01%             | 2042-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104846.38    | 0.03%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Allspring Buyer LLC                                                         | Allspring Buyer LLC                                                             | CUSIP: 98922AAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       84362 | PA      | $83371.24     | 0.03%             | 2028-11-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      153355 | PA      | $133731.26    | 0.04%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                                 | Swedbank AB                                                                     | CUSIP: 87020PAK3<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |      400000 | PA      | $392883.94    | 0.12%             | 2023-06-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Garda World Security Corporation                                            | Garda World Security Corp                                                       | CUSIP: 000000000<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | LON              | CORP              | CA        |       48095 | PA      | $46916.26     | 0.01%             | 2026-10-30      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93197 | PA      | $76065.61     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      150000 | PA      | $147325.89    | 0.05%             | 2023-06-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      114523 | PA      | $29334.68     | 0.01%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      390000 | PA      | $300861.72    | 0.09%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          30 | NC      | $-10905.78    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85980 | PA      | $76349.95     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                                              | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       83440 | PA      | $64591.10     | 0.02%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97694 | PA      | $75600.49     | 0.02%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                                              | JP Morgan Mortgage Acquisition Corp 2005-OPT2                                   | CUSIP: 46626LEP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $104466.42    | 0.03%             | 2035-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                     | Becton Dickinson and Co                                                         | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       68000 | PA      | $66487.27     | 0.02%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DB8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       46000 | PA      | $46954.04     | 0.01%             | 2024-07-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8484.67      | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                          | Union Pacific Corp                                                              | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       40000 | PA      | $29380.53     | 0.01%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DM2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      183920 | PA      | $157015.95    | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       80000 | PA      | $74203.74     | 0.02%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $65393.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65181 | PA      | $64085.37     | 0.02%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                      | Anglo American Capital PLC                                                      | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $290466.08    | 0.09%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       86887 | PA      | $11864.12     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      250000 | PA      | $194554.09    | 0.06%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188043 | PA      | $158731.17    | 0.05%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89565 | PA      | $73566.55     | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                                              | CSAIL 2017-C8 Commercial Mortgage Trust                                         | CUSIP: 12595BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      515000 | PA      | $427982.10    | 0.13%             | 2050-06-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      100000 | PA      | $86875.00     | 0.03%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       40000 | PA      | $29067.32     | 0.01%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      158547 | PA      | $141734.61    | 0.04%             | 2026-12-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       77106 | PA      | $66501.40     | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                                                      | Credit Agricole SA/London                                                       | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      250000 | PA      | $228103.92    | 0.07%             | 2026-06-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                    | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $67149.05     | 0.02%             | 2052-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZU5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |       60000 | PA      | $56940.50     | 0.02%             | 2024-10-28      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X8PK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47164 | PA      | $41701.35     | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       40000 | PA      | $35068.85     | 0.01%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99632.15     | 0.03%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13998 | PA      | $13098.73     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18230.22     | 0.01%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       10000 | PA      | $6830.86      | 0.00%             | 2060-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      240000 | PA      | $181644.93    | 0.06%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      430000 | PA      | $338587.82    | 0.11%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                   | BPR Trust 2021-TY                                                               | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $160518.44    | 0.05%             | 2038-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      190000 | PA      | $189298.02    | 0.06%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      100000 | PA      | $90137.83     | 0.03%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      490000 | PA      | $397194.20    | 0.12%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      190000 | PA      | $165991.77    | 0.05%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                            | Coca-Cola Co/The                                                                | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       60000 | PA      | $57635.18     | 0.02%             | 2027-03-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3460000 | PA      | $3461892.20   | 1.08%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      110000 | PA      | $93490.13     | 0.03%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92922 | PA      | $75871.86     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                        | Lockheed Martin Corp                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47267.62     | 0.01%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      260000 | PA      | $206167.75    | 0.06%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                       | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-60755.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      150000 | PA      | $139602.32    | 0.04%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86841 | PA      | $71064.57     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38197.83     | 0.01%             | 2026-03-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94561 | PA      | $77738.25     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Avolon TLB Borrower 1 (US) LLC                                              | Avolon TLB Borrower 1 US LLC                                                    | CUSIP: 05400KAH3<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |       58800 | PA      | $58773.87     | 0.02%             | 2027-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7E39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86687 | PA      | $80499.77     | 0.03%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EyeCare Partners LLC                                                        | Eyecare Partners LLC                                                            | CUSIP: 30233PAB6<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |       58442 | PA      | $47533.26     | 0.01%             | 2027-02-18      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                                          | Roche Holdings Inc                                                              | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |      200000 | PA      | $130477.73    | 0.04%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      440000 | PA      | $403954.99    | 0.13%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24076 | PA      | $23745.88     | 0.01%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AF4<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $9688.50      | 0.00%             | 2029-05-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                              | Morgan Stanley Capital I Trust 2019-BPR                                         | CUSIP: 61769GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      289340 | PA      | $276950.88    | 0.09%             | 2036-05-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1570000 | PA      | $1028533.99   | 0.32%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      445677 | PA      | $121308.54    | 0.04%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9493000 | PA      | $6605051.41   | 2.06%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41278.75     | 0.01%             | 2050-02-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                    | Constellation Brands Inc                                                        | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68277.29     | 0.02%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9647.63      | 0.00%             | 2028-12-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 05581KAC5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $189951.09    | 0.06%             | 2027-03-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1920000 | PA      | $1639575.00   | 0.51%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      970000 | PA      | $859442.49    | 0.27%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16526 | PA      | $16198.48     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25426 | PA      | $23438.01     | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      360000 | PA      | $356547.05    | 0.11%             | 2025-01-10      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $95335.05     | 0.03%             | 2032-07-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      140000 | PA      | $132011.01    | 0.04%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22253 | PA      | $21293.47     | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          15 | NC      | $-122406.50   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A4LV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      630780 | PA      | $622998.45    | 0.19%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2600000 | PA      | $2468628.92   | 0.77%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Focus Financial Partners LLC                                                | Focus Financial Partners LLC                                                    | CUSIP: 000000000<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |      265019 | PA      | $262424.91    | 0.08%             | 2028-06-30      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96051 | PA      | $87772.50     | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                                                     | Guardian Life Global Funding                                                    | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27202.35     | 0.01%             | 2025-06-23      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90054 | PA      | $82426.58     | 0.03%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      150000 | PA      | $137443.88    | 0.04%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                      | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      280000 | PA      | $250822.67    | 0.08%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      900000 | PA      | $914581.23    | 0.28%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2100000 | PA      | $1929748.21   | 0.60%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                                      | Mondelez International Inc                                                      | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |      160000 | PA      | $148198.93    | 0.05%             | 2025-05-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                                     | Walt Disney Co/The                                                              | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |       50000 | PA      | $56855.86     | 0.02%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582BQ4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       40000 | PA      | $32808.43     | 0.01%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -18 | NC      | $-23625.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17054.20     | 0.01%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $507486.86    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      410000 | PA      | $351982.63    | 0.11%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      370000 | PA      | $252982.69    | 0.08%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       61078 | PA      | $61195.07     | 0.02%             | 2070-04-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                            | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      150000 | PA      | $137272.52    | 0.04%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -1200000 | PA      | $-1102713.26  | -0.34%            | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                           | General Motors Co                                                               | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9829.57      | 0.00%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      340000 | PA      | $295117.39    | 0.09%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9168.59      | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LH6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19509 | PA      | $18273.90     | 0.01%             | 2029-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       50000 | PA      | $43655.99     | 0.01%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1368938 | PA      | $1134102.27   | 0.35%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33283 | PA      | $30917.98     | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                | Alphabet Inc                                                                    | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       30000 | PA      | $17668.82     | 0.01%             | 2050-08-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| PRIME SECSRVC BRW/FINANC                                                    | Prime Security Services Borrower LLC / Prime Finance Inc                        | CUSIP: 74166MAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $67529.00     | 0.02%             | 2026-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1010.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      230000 | PA      | $183522.75    | 0.06%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                | Chevron Corp                                                                    | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       40000 | PA      | $35984.16     | 0.01%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hunter Douglas Holding BV                                                   | Hunter Douglas Inc                                                              | CUSIP: 000000000<br>LEI: 529900811T142NS3H544 | Long             | LON              | CORP              | US        |      518354 | PA      | $458696.28    | 0.14%             | 2029-02-26      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                      | Philip Morris International Inc                                                 | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8477.29      | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $314997.17    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      190227 | PA      | $170178.80    | 0.05%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      200000 | PA      | $168236.30    | 0.05%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  2348000000 | PA      | $155618.61    | 0.05%             | 2035-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | Petroleos Mexicanos                                                             | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      150000 | PA      | $142004.51    | 0.04%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       90000 | PA      | $89970.06     | 0.03%             | 2023-01-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                    | Visa Inc                                                                        | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      190000 | PA      | $174464.35    | 0.05%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $292457.21    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123748 | PA      | $118791.07    | 0.04%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                                              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-2              | CUSIP: 16678RBE6<br>LEI: 549300DNEIQWPVRRQF88 | Long             | ABS-MBS          | CORP              | US        |      122088 | PA      | $95081.10     | 0.03%             | 2035-05-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                | Alphabet Inc                                                                    | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       40000 | PA      | $31396.24     | 0.01%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                                          | Panama Government International Bond                                            | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      210000 | PA      | $156293.64    | 0.05%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      240000 | PA      | $200627.42    | 0.06%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      150000 | PA      | $146010.95    | 0.05%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                          | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      110000 | PA      | $101781.08    | 0.03%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $171558.00    | 0.05%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19842 | PA      | $18429.13     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A8LC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21186 | PA      | $20712.82     | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding, LLC                                                | Jack in the Box Funding LLC                                                     | CUSIP: 466365AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      127725 | PA      | $113307.64    | 0.04%             | 2049-08-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      340000 | PA      | $308827.66    | 0.10%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       70000 | PA      | $58413.31     | 0.02%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1500315 | PA      | $1282879.69   | 0.40%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                 | Workday Inc                                                                     | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      400000 | PA      | $354212.75    | 0.11%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                     | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       90000 | PA      | $71034.70     | 0.02%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      140000 | PA      | $130716.96    | 0.04%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                         | Elevance Health Inc                                                             | CUSIP: 036752AC7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48500.58     | 0.02%             | 2024-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1529394 | PA      | $1346319.50   | 0.42%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      220000 | PA      | $216798.77    | 0.07%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417BGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      213184 | PA      | $208421.15    | 0.06%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $206897.44    | 0.06%             | 2031-01-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4115 | PA      | $3911.31      | 0.00%             | 2048-06-16      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1800000 | PA      | $1746405.07   | 0.54%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131XUM38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24600 | PA      | $22879.65     | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBQ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      240000 | PA      | $236127.80    | 0.07%             | 2024-06-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41383.91     | 0.01%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       49590 | PA      | $44268.69     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      190000 | PA      | $181991.60    | 0.06%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      460000 | PA      | $410249.68    | 0.13%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2000000 | PA      | $1893757.38   | 0.59%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      100000 | PA      | $79645.47     | 0.02%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       50000 | PA      | $40967.20     | 0.01%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DCert Buyer Inc                                                             | Dcert Buyer Inc                                                                 | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |      491498 | PA      | $475875.92    | 0.15%             | 2026-10-16      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       40000 | PA      | $34221.85     | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                                                      | Teck Resources Ltd                                                              | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |       10000 | PA      | $9584.65      | 0.00%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      290000 | PA      | $236823.39    | 0.07%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      160000 | PA      | $156288.08    | 0.05%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26477.42     | 0.01%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      193470 | PA      | $180126.01    | 0.06%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                      | AthenaHealth Group Inc                                                          | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |      536002 | PA      | $485274.94    | 0.15%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                         | Medline Borrower LP                                                             | CUSIP: 58503UAC7<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |      496250 | PA      | $472482.11    | 0.15%             | 2028-10-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8220.04      | 0.00%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      430000 | PA      | $391673.81    | 0.12%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68468.42     | 0.02%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       60000 | PA      | $49027.80     | 0.02%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $779695.73    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2020-R01                                    | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40643 | PA      | $40388.38     | 0.01%             | 2040-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Cloudera Inc                                                                | Cloudera Inc                                                                    | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |       69475 | PA      | $65729.95     | 0.02%             | 2028-10-08      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1115100.29   | 0.35%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3240000 | PA      | $2060374.22   | 0.64%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                                          | Cold Storage Trust 2020-ICE5                                                    | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      589794 | PA      | $574234.77    | 0.18%             | 2037-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      287158 | PA      | $237262.30    | 0.07%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       90000 | PA      | $87851.25     | 0.03%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95138 | PA      | $78214.65     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage                                               | Waterfall Commercial Mortgage Trust 2015-SBC5                                   | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23097 | PA      | $22658.07     | 0.01%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-95139.23    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      250000 | PA      | $167873.37    | 0.05%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10039.80     | 0.00%             | 2025-02-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67179 | PA      | $63233.29     | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22953 | PA      | $21865.98     | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2021-R03                                    | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      520000 | PA      | $491211.34    | 0.15%             | 2041-12-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                                     | Reliance Industries Ltd                                                         | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |      260000 | PA      | $171107.88    | 0.05%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      110000 | PA      | $72916.00     | 0.02%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89643 | PA      | $81665.71     | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                            | FirstEnergy Corp                                                                | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26573.53     | 0.01%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9TA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72481 | PA      | $61754.03     | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19991.97     | 0.01%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382UG39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      915552 | PA      | $125658.35    | 0.04%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      166898 | PA      | $137617.30    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      260000 | PA      | $235040.41    | 0.07%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | French Government Bond s                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          23 | NC      | $-242047.58   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378XW72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      342468 | PA      | $3704.82      | 0.00%             | 2054-08-16      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Entain Holdings (Gibraltar) Limited                                         | Entain Holdings Gibraltar Ltd                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | GI        |       49250 | PA      | $48965.34     | 0.02%             | 2027-03-29      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                             | Israel Government International Bond                                            | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      400000 | PA      | $364310.00    | 0.11%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380L2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      186801 | PA      | $183930.76    | 0.06%             | 2069-06-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                 | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      240000 | PA      | $199580.22    | 0.06%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      110000 | PA      | $89391.98     | 0.03%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                                              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3              | CUSIP: 16678RBV8<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |      278736 | PA      | $251790.11    | 0.08%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAD3<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $97953.00     | 0.03%             | 2023-07-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $221316.68    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       15000 | PA      | $13110.96     | 0.00%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2050000 | PA      | $1666127.25   | 0.52%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                                     | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      380000 | PA      | $347363.97    | 0.11%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38610.59     | 0.01%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80859 | PA      | $66191.86     | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      245000 | PA      | $174604.75    | 0.05%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $55877.63     | 0.02%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                           | NEWELL BRANDS INC                                                               | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9429.95      | 0.00%             | 2026-04-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                          | Union Pacific Corp                                                              | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      190000 | PA      | $151670.39    | 0.05%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      110000 | PA      | $103324.39    | 0.03%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9998.75      | 0.00%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -289 | NC      | $255578.04    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93839 | PA      | $81051.34     | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                                              | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120000 | PA      | $84946.67     | 0.03%             | 2067-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -1700000 | PA      | $-1684770.92  | -0.52%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       80000 | PA      | $74803.51     | 0.02%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      130440 | PA      | $117090.95    | 0.04%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Trust 2018-J1 Trust                                                        | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      279367 | PA      | $244146.67    | 0.08%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       70000 | PA      | $77404.25     | 0.02%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      378765 | PA      | $323329.28    | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Acres PLC                                                                   | ACRES Commercial Realty 2021-FL1 Ltd                                            | CUSIP: 00103CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $331279.60    | 0.10%             | 2036-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    60391000 | PA      | $221092.47    | 0.07%             | 2029-05-23      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LHPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19155 | PA      | $18162.16     | 0.01%             | 2029-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       50000 | PA      | $39398.23     | 0.01%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                                    | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |      360000 | PA      | $330867.69    | 0.10%             | 2044-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       10000 | PA      | $9976.06      | 0.00%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      257614 | PA      | $36214.97     | 0.01%             | 2046-10-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2016-3                                                | CUSIP: 89172YAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      110000 | PA      | $104954.10    | 0.03%             | 2056-04-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WE3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      183496 | PA      | $177694.25    | 0.06%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75672 | PA      | $61941.60     | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 10YR POOL                                                              | FNMA 10YR POOL                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |      200000 | PA      | $204164.06    | 0.06%             | 2024-01-01      | Fixed         | 4.72%                 | No            |                  3 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3560000 | PA      | $3027946.89   | 0.94%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      420000 | PA      | $345578.10    | 0.11%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alterra Mountain Company                                                    | Alterra Mountain Co                                                             | CUSIP: 46124CAJ6<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |       67012 | PA      | $66363.05     | 0.02%             | 2028-08-17      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| United AirLines Inc                                                         | United Airlines Inc                                                             | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |      157600 | PA      | $156057.10    | 0.05%             | 2028-04-21      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    67452000 | PA      | $246942.92    | 0.08%             | 2028-01-19      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87621 | PA      | $72018.63     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $895865.74    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      294984 | PA      | $15055.26     | 0.00%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967KU4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      170000 | PA      | $158548.64    | 0.05%             | 2028-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       50000 | PA      | $49370.32     | 0.02%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                                             | Deere & Co                                                                      | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |      100000 | PA      | $84946.30     | 0.03%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46776 | PA      | $42867.16     | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-3552.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30937.35     | 0.01%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HMRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78725 | PA      | $77509.62     | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      321258 | PA      | $289074.91    | 0.09%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      480000 | PA      | $446459.09    | 0.14%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411AW5<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |      160000 | PA      | $132954.80    | 0.04%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                                    | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36553.64     | 0.01%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                     | Becton Dickinson and Co                                                         | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |        8000 | PA      | $7189.39      | 0.00%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                                       | Phoenix Guarantor Inc                                                           | CUSIP: 71913BAH5<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |       47778 | PA      | $45074.40     | 0.01%             | 2026-03-05      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XA7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86721 | PA      | $74128.10     | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      100000 | PA      | $83502.56     | 0.03%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       90000 | PA      | $77834.32     | 0.02%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -1800000 | PA      | $-1603170.92  | -0.50%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       60000 | PA      | $50250.00     | 0.02%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                     | XPO Inc                                                                         | CUSIP: 983793AH3<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10135.98     | 0.00%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-22011.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                                               | VLS Commercial Mortgage Trust 2020-LAB                                          | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210000 | PA      | $159872.73    | 0.05%             | 2042-10-10      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       30000 | PA      | $20218.47     | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $173853.55    | 0.05%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      760000 | PA      | $649474.58    | 0.20%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                    | Visa Inc                                                                        | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      220000 | PA      | $212341.45    | 0.07%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       10000 | PA      | $8141.99      | 0.00%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65536.22     | 0.02%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                    | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200043 | PA      | $153265.55    | 0.05%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       20000 | PA      | $14814.63     | 0.00%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448EP9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       30000 | PA      | $21584.05     | 0.01%             | 2049-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19252 | PA      | $17537.14     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7830.09      | 0.00%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      120000 | PA      | $116320.86    | 0.04%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      291257 | PA      | $270508.96    | 0.08%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      160000 | PA      | $108229.45    | 0.03%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      128042 | PA      | $110663.09    | 0.03%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                       | Quikrete Holdings Inc                                                           | CUSIP: 74839XAG4<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |       89550 | PA      | $88969.27     | 0.03%             | 2028-06-09      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBN0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28966.15     | 0.01%             | 2025-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                          | Wendy's Funding LLC                                                             | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |      108350 | PA      | $87827.85     | 0.03%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2120000 | PA      | $1514764.85   | 0.47%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      660000 | PA      | $518257.34    | 0.16%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       40000 | PA      | $34228.74     | 0.01%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18855.81     | 0.01%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B6XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      183458 | PA      | $159251.24    | 0.05%             | 2031-10-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          14 | NC      | $-31480.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GFL Environmental Inc                                                       | GFL Environmental Inc                                                           | CUSIP: 000000000<br>LEI: 549300FYK4MBXWIVZU26 | Long             | LON              | CORP              | CA        |      152024 | PA      | $152266.33    | 0.05%             | 2025-05-30      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                                                | ADT Security Corp/The                                                           | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8518.06      | 0.00%             | 2029-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1700000 | PA      | $1708708.85   | 0.53%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      440000 | PA      | $353638.68    | 0.11%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      370000 | PA      | $327077.00    | 0.10%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      830000 | PA      | $707133.83    | 0.22%             | 2053-04-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57135 | PA      | $52944.87     | 0.02%             | 2029-05-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48647 | PA      | $47984.66     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | Royal Bank of Canada                                                            | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       80000 | PA      | $73298.43     | 0.02%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      105000 | PA      | $100236.33    | 0.03%             | 2026-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      730000 | PA      | $549182.42    | 0.17%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114805 | PA      | $107926.07    | 0.03%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q95N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29340 | PA      | $29354.40     | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4990000 | PA      | $4729779.28   | 1.47%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                      | Open Text Holdings Inc                                                          | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $8039.40      | 0.00%             | 2030-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133D4VD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94537 | PA      | $84547.62     | 0.03%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7BY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1481158 | PA      | $1424164.43   | 0.44%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18125.67     | 0.01%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      310000 | PA      | $277885.94    | 0.09%             | 2026-03-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      150000 | PA      | $139727.89    | 0.04%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188502 | PA      | $154692.95    | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      400000 | PA      | $382956.83    | 0.12%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55302.67     | 0.02%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                    | Constellation Brands Inc                                                        | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49039.29     | 0.02%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      180000 | PA      | $133009.42    | 0.04%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                              | Morgan Stanley Capital I Trust 2017-H1                                          | CUSIP: 61691JBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $213362.00    | 0.07%             | 2050-06-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37331.53     | 0.01%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9179.66      | 0.00%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                                               | First Franklin Mortgage Loan Trust 2006-FF15                                    | CUSIP: 32028GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      137650 | PA      | $126799.29    | 0.04%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    57490000 | PA      | $2633214.00   | 0.82%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                        | Charter Communications Operating LLC                                            | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |       38797 | PA      | $37943.46     | 0.01%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                 | Walmart Inc                                                                     | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16329.79     | 0.01%             | 2031-09-22      | Fixed         | 1.80%                 | 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        |      372343 | PA      | $341506.82    | 0.11%             | 2056-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN NATURAL GAS                                                        | Southern Natural Gas Co LLC                                                     | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $55019.16     | 0.02%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       50000 | PA      | $47111.76     | 0.01%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2970000 | PA      | $1599449.43   | 0.50%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                                            | Triumph Rail Holdings LLC                                                       | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      102341 | PA      | $87367.65     | 0.03%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      630000 | PA      | $606420.18    | 0.19%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8236.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                                      | SFE 10 YEAR AUSTRALIAN BOND                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |          31 | NC      | $-140443.85   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -100000 | PA      | $-99088.55    | -0.03%            | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                 | Oracle Corp                                                                     | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      430000 | PA      | $385438.87    | 0.12%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26781.45     | 0.01%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                      | AthenaHealth Group Inc                                                          | CUSIP: 04686RAC7<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |       91304 | PA      | $82663.31     | 0.03%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR Remic Trust 2020-DNA2                                         | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |      107312 | PA      | $107137.83    | 0.03%             | 2050-02-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189967 | PA      | $155995.97    | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-RPL2Trust                                                             | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75261 | PA      | $63082.95     | 0.02%             | 2060-01-25      | Variable      | 2.00%                 | 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        |      180000 | PA      | $156984.86    | 0.05%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -700000 | PA      | $-701945.37   | -0.22%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                         | Abbott Laboratories                                                             | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      230000 | PA      | $228622.20    | 0.07%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      530000 | PA      | $492834.86    | 0.15%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBG8<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |       40000 | PA      | $30325.68     | 0.01%             | 2041-12-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BS4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       60000 | PA      | $48350.09     | 0.02%             | 2030-06-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1600000 | PA      | $1540297.57   | 0.48%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18146.78     | 0.01%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85858 | PA      | $70273.26     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $317879.83    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      460000 | PA      | $427169.22    | 0.13%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48260.38     | 0.02%             | 2027-10-01      | Fixed         | 4.25%                 | 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        |       90000 | PA      | $61881.62     | 0.02%             | 2031-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                         | Otis Worldwide Corp                                                             | CUSIP: 68902VAH0<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      110000 | PA      | $103011.18    | 0.03%             | 2025-04-05      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35745 | PA      | $35172.33     | 0.01%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -36 | NC      | $-2812.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1223970 | PA      | $998826.39    | 0.31%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      310000 | PA      | $226265.17    | 0.07%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                                        | Range Resources Corp                                                            | CUSIP: 75281AAS8<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38061.32     | 0.01%             | 2025-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $156693.83    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Scientific Games International, Inc.                                        | Scientific Games International Inc                                              | CUSIP: 000000000<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |      199000 | PA      | $196797.07    | 0.06%             | 2029-04-13      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99754.98     | 0.03%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      220000 | PA      | $196796.88    | 0.06%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 31329PBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      174222 | PA      | $161559.74    | 0.05%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      413141 | PA      | $339572.58    | 0.11%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31669 | PA      | $33105.53     | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHA0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       50000 | PA      | $38895.24     | 0.01%             | 2049-01-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                                         | American International Group Inc                                                | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |       26000 | PA      | $24500.60     | 0.01%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $134506.49    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                                              | BRAVO Residential Funding Trust 2021-NQM2                                       | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41673 | PA      | $39212.62     | 0.01%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65983.77     | 0.02%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21152 | PA      | $20779.87     | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       92807 | PA      | $78340.53     | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PCI Gaming Authority                                                        | PCI Gaming Authority                                                            | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |       72813 | PA      | $72510.20     | 0.02%             | 2026-05-29      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8067.05      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65297.77     | 0.02%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                                                  | Applebee's Funding LLC / IHOP Funding LLC                                       | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      396000 | PA      | $390350.74    | 0.12%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       50000 | PA      | $43125.00     | 0.01%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       75978 | PA      | $63083.14     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       60000 | PA      | $57348.50     | 0.02%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      296000 | PA      | $198835.14    | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86063 | PA      | $70818.43     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3100000 | PA      | $2555078.13   | 0.80%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 90352JAF0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      350000 | PA      | $345213.18    | 0.11%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      151605 | PA      | $140805.09    | 0.04%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          13 | NC      | $-58463.27    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31416WYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111538 | PA      | $108098.12    | 0.03%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Great Outdoors Group LLC                                                    | Great Outdoors Group LLC                                                        | CUSIP: 07014QAN1<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |       58806 | PA      | $56637.16     | 0.02%             | 2028-03-06      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      389423 | PA      | $340525.66    | 0.11%             | 2053-01-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      672743 | PA      | $580811.53    | 0.18%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70903 | PA      | $65853.64     | 0.02%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52888 | PA      | $49689.89     | 0.02%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       80983 | PA      | $11175.44     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CL7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       70000 | PA      | $53592.35     | 0.02%             | 2047-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $162957.68    | 0.05%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7                   | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      114920 | PA      | $106036.88    | 0.03%             | 2028-05-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17299.06     | 0.01%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28516.82     | 0.01%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -1100000 | PA      | $-1106494.51  | -0.34%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $83083.84     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                            | Coca-Cola Co/The                                                                | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       90000 | PA      | $79588.73     | 0.02%             | 2027-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       98006 | PA      | $84938.29     | 0.03%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                           | NatWest Group PLC                                                               | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $198179.38    | 0.06%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       60000 | PA      | $56481.61     | 0.02%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94213 | PA      | $80678.92     | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2021-NQM3                                   | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73233 | PA      | $60624.99     | 0.02%             | 2056-11-27      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1100000 | PA      | $1106494.51   | 0.34%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DANONE SA                                                                   | Danone SA                                                                       | CUSIP: 23636TAD2<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |      220000 | PA      | $215489.96    | 0.07%             | 2023-11-02      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       20000 | PA      | $22423.94     | 0.01%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                        | Lockheed Martin Corp                                                            | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28745.60     | 0.01%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      182331 | PA      | $149449.35    | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9303.22      | 0.00%             | 2027-03-19      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       70000 | PA      | $51999.82     | 0.02%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | Southwestern Energy Co                                                          | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18278.88     | 0.01%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                                                    | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       81005 | PA      | $80713.75     | 0.03%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M0AK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284711 | PA      | $232376.45    | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131XW2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24932 | PA      | $23153.70     | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9MA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13000000 | PA      | $205129.73    | 0.06%             | 2032-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       80000 | PA      | $77500.92     | 0.02%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ICON Luxembourg Sarl                                                        | ICON Luxembourg Sarl                                                            | CUSIP: 000000000<br>LEI: 635400PUWMHSPI2DDA35 | Long             | LON              | CORP              | LU        |      128066 | PA      | $127842.45    | 0.04%             | 2028-07-03      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93114 | PA      | $85918.97     | 0.03%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      158000 | PA      | $146572.66    | 0.05%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      160000 | PA      | $128542.22    | 0.04%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                                               | SBA Small Business Investment Cos                                               | CUSIP: 831641FL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       74881 | PA      | $70750.10     | 0.02%             | 2028-09-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                                  | Air Canada                                                                      | CUSIP: 000000000<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | CA        |       79800 | PA      | $79114.12     | 0.02%             | 2028-08-11      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 03746AAA8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       40000 | PA      | $42084.09     | 0.01%             | 2029-12-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       90000 | PA      | $78752.51     | 0.02%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       80000 | PA      | $69570.29     | 0.02%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97297 | PA      | $83194.29     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       80000 | PA      | $75320.76     | 0.02%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |       71000 | PA      | $68965.49     | 0.02%             | 2024-07-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     5000000 | PA      | $735164.07    | 0.23%             | 2025-11-30      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | Eurex 30 Year Euro BUXL                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -8 | NC      | $214550.72    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| NIKE INC                                                                    | NIKE Inc                                                                        | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |       80000 | PA      | $71682.71     | 0.02%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       70000 | PA      | $63136.71     | 0.02%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      396135 | PA      | $338158.70    | 0.11%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      850000 | PA      | $869421.15    | 0.27%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       20000 | PA      | $14482.73     | 0.00%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBJ4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      170000 | PA      | $163406.37    | 0.05%             | 2050-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      520000 | PA      | $395072.59    | 0.12%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      349709 | PA      | $285897.63    | 0.09%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94135.50     | 0.03%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 13823000000 | PA      | $911313.13    | 0.28%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7969.77      | 0.00%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       66404 | PA      | $57883.78     | 0.02%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      130000 | PA      | $122373.52    | 0.04%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135CB0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      190000 | PA      | $136268.07    | 0.04%             | 2051-05-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                             | Cameron LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16922.66     | 0.01%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                     | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BV7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9836.33      | 0.00%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     2060000 | PA      | $1805651.80   | 0.56%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38383CED8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1100725 | PA      | $149100.00    | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $7884.01      | 0.00%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      394807 | PA      | $323283.93    | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      150000 | PA      | $143334.19    | 0.04%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MMRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      192467 | PA      | $167579.61    | 0.05%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $410652.52    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28234 | PA      | $27762.27     | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32068 | PA      | $31590.54     | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |       80000 | PA      | $69796.06     | 0.02%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      480000 | PA      | $465623.64    | 0.15%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                     | Honeywell International Inc                                                     | CUSIP: 438516CB0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |       60000 | PA      | $55520.23     | 0.02%             | 2025-06-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A3RZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      101412 | PA      | $102081.46    | 0.03%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75278 | PA      | $61942.53     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BQ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      100000 | PA      | $91405.60     | 0.03%             | 2025-06-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      170000 | PA      | $145679.27    | 0.05%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105123 | PA      | $61421.08     | 0.02%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                                              | Freddie Mac Multiclass Certificates Series 2020-RR07                            | CUSIP: 3137FRVE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $347616.75    | 0.11%             | 2028-10-01      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       50000 | PA      | $42825.75     | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-RPL6 Trust                                                            | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88121 | PA      | $77625.21     | 0.02%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      121246 | PA      | $116859.59    | 0.04%             | 2047-11-01      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1796954 | PA      | $1608691.15   | 0.50%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BB9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       70000 | PA      | $67303.29     | 0.02%             | 2025-02-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                   | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $182698.44    | 0.06%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2000000 | PA      | $1892819.88   | 0.59%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Peraton Corp                                                                | Peraton Corp                                                                    | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |      489501 | PA      | $478896.05    | 0.15%             | 2028-02-01      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBC6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       32000 | PA      | $31364.08     | 0.01%             | 2026-02-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                                    | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |       30000 | PA      | $24077.40     | 0.01%             | 2032-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      120000 | PA      | $101527.27    | 0.03%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190858 | PA      | $172044.73    | 0.05%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6SD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18262 | PA      | $16947.26     | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RKE1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       30000 | PA      | $20087.37     | 0.01%             | 2052-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      130000 | PA      | $114255.10    | 0.04%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         121 | NC      | $15881.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       80000 | PA      | $73618.75     | 0.02%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       70000 | PA      | $66320.08     | 0.02%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      220000 | PA      | $212345.21    | 0.07%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NAS8<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      170000 | PA      | $178104.75    | 0.06%             | 2027-01-17      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      284536 | PA      | $261078.97    | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      190000 | PA      | $203536.91    | 0.06%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47003.41     | 0.01%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                           | Johnson & Johnson                                                               | CUSIP: 478160CR3<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      360000 | PA      | $249122.02    | 0.08%             | 2040-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                            | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $162861.00    | 0.05%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $7226.25      | 0.00%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      140000 | PA      | $143115.70    | 0.04%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-NQM3                                                                  | CUSIP: 12660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73823 | PA      | $58471.04     | 0.02%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      900000 | PA      | $790757.33    | 0.25%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 16713000000 | PA      | $1044596.05   | 0.33%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      270318 | PA      | $231648.57    | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       50000 | PA      | $42254.14     | 0.01%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | USD/ZAR FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $26701.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10190 | PA      | $9998.27      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97700.63     | 0.03%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      856437 | PA      | $788806.41    | 0.25%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       80000 | PA      | $70380.86     | 0.02%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                   | CIM Trust 2021-R6                                                               | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81342 | PA      | $72047.37     | 0.02%             | 2061-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      660000 | PA      | $514895.03    | 0.16%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141EC23<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39164.56     | 0.01%             | 2024-07-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       50000 | PA      | $40959.64     | 0.01%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                                              | DBJPM 2016-C3 Mortgage Trust                                                    | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $457976.90    | 0.14%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       30000 | PA      | $22916.81     | 0.01%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523CK4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      220000 | PA      | $156940.81    | 0.05%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                            | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      170000 | PA      | $120757.20    | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      969224 | PA      | $35909.83     | 0.01%             | 2026-07-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      283779 | PA      | $254648.46    | 0.08%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      350000 | PA      | $255789.56    | 0.08%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| II-VI Incorporated                                                          | Coherent Corp                                                                   | CUSIP: 45173JAQ7<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |      352671 | PA      | $349850.06    | 0.11%             | 2029-07-02      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         128 | NC      | $87506.20     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91741 | PA      | $81878.99     | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                              | Merck & Co Inc                                                                  | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |       50000 | PA      | $40007.03     | 0.01%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      160000 | PA      | $132021.17    | 0.04%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                     | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      110000 | PA      | $99189.86     | 0.03%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      300000 | PA      | $278207.73    | 0.09%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EN2H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85816 | PA      | $80718.29     | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42572 | PA      | $38342.33     | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      530000 | PA      | $490555.75    | 0.15%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2015-C                                         | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |        1092 | PA      | $463251.71    | 0.14%             | 2046-09-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93508 | PA      | $83680.91     | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3000000 | PA      | $2671951.53   | 0.83%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Corp II                                                  | CUSIP: 36255TAJ1<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      482325 | PA      | $349465.25    | 0.11%             | 2031-09-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       50000 | PA      | $39953.79     | 0.01%             | 2046-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      140000 | PA      | $124727.70    | 0.04%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          28 | NC      | $5687.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      400000 | PA      | $397297.12    | 0.12%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                           | Johnson & Johnson                                                               | CUSIP: 478160CN2<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45203.13     | 0.01%             | 2025-09-01      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Castlelake Aviation One Designated Activity Company                         | Castlelake Aviation One DAC                                                     | CUSIP: 14855NAB2<br>LEI: 2138003EQK2PETKID103 | Long             | LON              | CORP              | IE        |      495040 | PA      | $491547.70    | 0.15%             | 2026-10-22      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                 | Legacy Mortgage Asset Trust 2021-GS5                                            | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99629 | PA      | $89682.26     | 0.03%             | 2067-07-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92743 | PA      | $79412.45     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $94513.02     | 0.03%             | 2032-09-01      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       10000 | PA      | $6945.70      | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8476.25      | 0.00%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XZQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15290 | PA      | $14279.16     | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                          | Union Pacific Corp                                                              | CUSIP: 907818ES3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68078.91     | 0.02%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                         | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |       60000 | PA      | $71541.30     | 0.02%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27271.24     | 0.01%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 91911KAN2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       10000 | PA      | $8515.77      | 0.00%             | 2025-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | Tenet Healthcare Corp                                                           | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8673.20      | 0.00%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      396983 | PA      | $338479.58    | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      310000 | PA      | $281529.78    | 0.09%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $25326.30     | 0.01%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      580000 | PA      | $461301.63    | 0.14%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -1800000 | PA      | $-1703537.89  | -0.53%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3120000 | PA      | $1734829.70   | 0.54%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      160000 | PA      | $160275.00    | 0.05%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-102987.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45462.91     | 0.01%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      150000 | PA      | $138633.09    | 0.04%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2400000 | PA      | $2251696.37   | 0.70%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection LLC                                               | Caesars Resort Collection LLC                                                   | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |       14083 | PA      | $14066.51     | 0.00%             | 2025-07-21      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | CNY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-12503.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                    | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4117412 | PA      | $95489.78     | 0.03%             | 2055-01-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -200000 | PA      | $-192537.20   | -0.06%            | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16722.00     | 0.01%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85396 | PA      | $75197.93     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      400000 | PA      | $378315.58    | 0.12%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       20000 | PA      | $17913.28     | 0.01%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39242.31     | 0.01%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4500000 | PA      | $3662680.55   | 1.14%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JAHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22910 | PA      | $22460.13     | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $163662.42    | 0.05%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $2887706.37   | 0.90%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                          | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      370000 | PA      | $287896.96    | 0.09%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      140000 | PA      | $126416.91    | 0.04%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                                    | OCP SA                                                                          | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      200000 | PA      | $168242.00    | 0.05%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                                 | SREIT Trust 2021-MFP2                                                           | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120000 | PA      | $115675.93    | 0.04%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | Sprint LLC                                                                      | CUSIP: 85207UAJ4<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |       40000 | PA      | $41381.36     | 0.01%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      400000 | PA      | $363604.37    | 0.11%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                     | Flagstar Mortgage Trust 2018-2                                                  | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3668 | PA      | $3601.79      | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BM5<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18542.40     | 0.01%             | 2027-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      520000 | PA      | $429659.14    | 0.13%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8812.82      | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     1500000 | PA      | $220276.13    | 0.07%             | 2025-05-21      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411BG9<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32386.85     | 0.01%             | 2049-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $8000.00      | 0.00%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                                     | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |      260000 | PA      | $234337.31    | 0.07%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19396.33     | 0.01%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -26 | NC      | $-26406.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| 3M COMPANY                                                                  | 3M Co                                                                           | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       80000 | PA      | $68020.92     | 0.02%             | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65196.78     | 0.02%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -300000 | PA      | $-304262.75   | -0.09%            | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65947 | PA      | $61249.52     | 0.02%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                            | Coca-Cola Co/The                                                                | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       40000 | PA      | $26686.99     | 0.01%             | 2050-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                            | Bank of Montreal                                                                | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      160000 | PA      | $149596.19    | 0.05%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                                           | Republic of Kenya Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      200000 | PA      | $184647.00    | 0.06%             | 2024-06-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       60000 | PA      | $58771.60     | 0.02%             | 2024-09-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      250000 | PA      | $256662.43    | 0.08%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -100000 | PA      | $-87783.80    | -0.03%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2017-6                                                | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      304651 | PA      | $291804.53    | 0.09%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78824 | PA      | $70856.14     | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                                              | Structured Asset Investment Loan Trust 2005-HE1                                 | CUSIP: 86358EUW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      172830 | PA      | $164103.36    | 0.05%             | 2035-07-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card                                               | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      160000 | PA      | $146687.70    | 0.05%             | 2026-09-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18868.42     | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      240000 | PA      | $156159.37    | 0.05%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      160000 | PA      | $146434.83    | 0.05%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      240000 | PA      | $238618.15    | 0.07%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1100000 | PA      | $963311.81    | 0.30%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       20000 | PA      | $13588.70     | 0.00%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                         | Gilead Sciences Inc                                                             | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      150000 | PA      | $144787.58    | 0.05%             | 2026-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      150000 | PA      | $152865.09    | 0.05%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       10000 | PA      | $8284.10      | 0.00%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19806.72     | 0.01%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| XPO Logistics Inc                                                           | XPO Inc                                                                         | CUSIP: 98379EAE6<br>LEI: 54930096DB9LCLPN7H13 | Long             | LON              | CORP              | US        |      110000 | PA      | $109647.45    | 0.03%             | 2025-02-24      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      260000 | PA      | $240594.96    | 0.07%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Pilot Travel Centers LLC                                                    | Pilot Travel Centers LLC                                                        | CUSIP: 72165NBH1<br>LEI: 549300115UILLXNE1Z49 | Long             | LON              | CORP              | US        |       56158 | PA      | $55617.31     | 0.02%             | 2028-08-04      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BG2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19502.44     | 0.01%             | 2025-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113186 | PA      | $101938.24    | 0.03%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verscend Holding Corp                                                       | Verscend Holding Corp                                                           | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      356376 | PA      | $354817.04    | 0.11%             | 2025-08-27      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                                                         | Hudbay Minerals Inc                                                             | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |       10000 | PA      | $9071.85      | 0.00%             | 2029-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                                                  | Eaton Corp                                                                      | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17183.23     | 0.01%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X83X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85371 | PA      | $73122.53     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      500000 | PA      | $467679.23    | 0.15%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          30 | NC      | $25312.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      300000 | PA      | $260253.46    | 0.08%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411BA2<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7562.75      | 0.00%             | 2043-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                                                   | Aetna Inc                                                                       | CUSIP: 00817YAV0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29689.61     | 0.01%             | 2023-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      167265 | PA      | $22820.33     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Trust 2022-CLS                                                               | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $441472.32    | 0.14%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      551601 | PA      | $550156.84    | 0.17%             | 2042-05-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      540000 | PA      | $398693.80    | 0.12%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      750501 | PA      | $672533.74    | 0.21%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                 | Workday Inc                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      160000 | PA      | $147126.65    | 0.05%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                                                | Harbor Freight Tools USA Inc                                                    | CUSIP: 41151PAP0<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |      107849 | PA      | $103020.16    | 0.03%             | 2027-10-19      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $117589.18    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       30000 | PA      | $24821.30     | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                   | Ball Corp                                                                       | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |       80000 | PA      | $64354.40     | 0.02%             | 2031-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $38819.10     | 0.01%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $53674.51     | 0.02%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                | Chevron Corp                                                                    | CUSIP: 166764BL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30000 | PA      | $28490.15     | 0.01%             | 2026-05-16      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93506 | PA      | $81418.15     | 0.03%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      130000 | PA      | $112544.17    | 0.04%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-48684.41    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                                    | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      270000 | PA      | $214044.69    | 0.07%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       80000 | PA      | $73287.27     | 0.02%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      260000 | PA      | $242693.68    | 0.08%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NBD0<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |       30000 | PA      | $26974.20     | 0.01%             | 2049-03-19      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       90000 | PA      | $89031.28     | 0.03%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $186954.00    | 0.06%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29676.39     | 0.01%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      691545 | PA      | $620475.68    | 0.19%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                        | Colombia Government International Bond                                          | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      240000 | PA      | $177209.40    | 0.06%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                              | Morgan Stanley Capital I Trust 2017-ASHF                                        | CUSIP: 61691KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      272115 | PA      | $263714.35    | 0.08%             | 2034-11-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                                      | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      300000 | PA      | $234808.50    | 0.07%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Sotera Health Holdings LLC                                                  | Sotera Health Holdings LLC                                                      | CUSIP: 83600VAE1<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |      290000 | PA      | $268975.00    | 0.08%             | 2026-12-11      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      700000 | PA      | $636440.81    | 0.20%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133D4TE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94095 | PA      | $81929.39     | 0.03%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36510.25     | 0.01%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      195455 | PA      | $167893.39    | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                          | Banco Santander SA                                                              | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      600000 | PA      | $562067.57    | 0.18%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $96694.61     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                          | Banco Santander SA                                                              | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      400000 | PA      | $397908.62    | 0.12%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      500000 | PA      | $445657.29    | 0.14%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       69000 | PA      | $68559.46     | 0.02%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                        | Targa Resources Corp                                                            | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |       80000 | PA      | $69056.86     | 0.02%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      760563 | PA      | $647238.02    | 0.20%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      270000 | PA      | $259873.24    | 0.08%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       30000 | PA      | $30112.50     | 0.01%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      263126 | PA      | $233243.68    | 0.07%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                                               | SFO Commercial Mortgage Trust 2021-555                                          | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140000 | PA      | $128694.57    | 0.04%             | 2038-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                    | New York Life Global Funding                                                    | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |       60000 | PA      | $54384.06     | 0.02%             | 2025-06-24      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                | Alphabet Inc                                                                    | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       50000 | PA      | $33375.46     | 0.01%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      130000 | PA      | $124690.71    | 0.04%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44482 | PA      | $42675.34     | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38832 | PA      | $37097.84     | 0.01%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      160000 | PA      | $141225.00    | 0.04%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                                              | SoFi Professional Loan Program 2017-A LLC                                       | CUSIP: 83404FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $132926.56    | 0.04%             | 2040-03-26      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      240000 | PA      | $188563.66    | 0.06%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26784.95     | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1380095 | PA      | $1190697.68   | 0.37%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4720000 | PA      | $4005546.86   | 1.25%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Legg Mason Partners Variable Income Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer