# EDGAR Filing Document

**Accession Number:** 0001032423
**File Stem:** 0001752724-23-048541
**Filing Date:** 2023-3
**Character Count:** 373176
**Document Hash:** 133cb90ea2cd1b60a9c8a058aea0e013
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-048541.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-048541

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DIAMOND HILL FUNDS
- **CENTRAL INDEX KEY:** 0001032423
- **IRS NUMBER:** 316547095
- **STATE OF INCORPORATION:** OH
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08061
- **FILM NUMBER:** 23689990

**BUSINESS ADDRESS:**
- **STREET 1:** 325 JOHN H. MCCONNELL BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215
- **BUSINESS PHONE:** 614-255-3333

**MAIL ADDRESS:**
- **STREET 1:** 325 JOHN H. MCCONNELL BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BSG FUNDS
- **DATE OF NAME CHANGE:** 19970206

## Series and Classes Contracts Data

### Diamond Hill Core Bond Fund (Series ID: S000055044)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000173086 | Diamond Hill Core Bond Fund Investor | DHRAX           |
| C000173087 | Diamond Hill Core Bond Fund Class I  | DHRIX           |
| C000173088 | Diamond Hill Core Bond Fund Class Y  | DHRYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Diamond Hill Funds

- **b. Investment Company Act file number:** 811-08061

- **c. CIK number of Registrant:** 0001032423

- **d. LEI of Registrant:** 549300PZZTQU6QTHS663

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

  - **Street Address 1:** 325 John H. McConnell Blvd.

  - **City:** Columbus

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 43215

  - **Telephone number:** 888-226-5595

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

- **a. Name of Series:** DIAMOND HILL CORE BOND FUND

- **b. EDGAR series identifier (if any):** S000055044

- **c. LEI of Series:** 549300WJVOWBLPHOUE51

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $615028890.73

**Total Liabilities:** $26153410.54

**Net Assets:** $588875480.19

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 145.95 | **1-Year:** 15143.90 | **5-Year:** 64392.18 | **10-Year:** 131196.87 | **30-Year:** 45889.84

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

- **3-Month:** 0.80 | **1-Year:** 13.84 | **5-Year:** 33.36 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000173087 | -1.69%               | 2.81%                | -0.47%               |
| Class ID C000173088 | -1.68%               | 2.82%                | -0.35%               |
| Class ID C000173086 | -1.72%               | 2.83%                | -0.49%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-414046.50              | $-10806831.24                              |
| Month 2  | $-58904.27               | $14905949.08                               |
| Month 3  | $-3073567.67             | $-848813.11                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Hero Funding Ii (B) 2016-4b                                              | Hero Funding Trust Series 2016-4B Class B                               | CUSIP: 42771VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86663 | PA      | $83126.75     | 0.01%             | 2047-09-20      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Ryder System, Inc.                                                       | Ryder Sys, Inc. 2.85%, Due 03/01/2027                                   | CUSIP: 78355HKT5<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    500000 | PA      | $451351.75    | 0.08%             | 2027-03-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES PASS THROUGH TRUSTS                                      | United Airlines 4.875%, Due 07/15/2027                                  | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381000 | PA      | $362477.80    | 0.06%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                      | Fifth Third Bancorp 1.707%, Due 11/01/2027                              | CUSIP: 316773DD9<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    450000 | PA      | $399137.93    | 0.07%             | 2027-11-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: —       |
| State Street Corporation                                                 | State Street Corporation 4.421%, Due 05/13/2033                         | CUSIP: 857477BU6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $189248.89    | 0.03%             | 2033-05-13      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Walt Disney Company                                                      | Walt Disney Company (The) 2.00%, due 09/01/2029                         | CUSIP: 254687FL5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    550000 | PA      | $461066.14    | 0.08%             | 2029-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2020-165, Class BP      | CUSIP: 38382KV67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    603113 | PA      | $504588.25    | 0.09%             | 2050-11-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                                  | Bank of New York Mellon Corporation 5.834%, Due 10/25/2033              | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518296.84    | 0.09%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST                                               | Upstart Securitization Trust Series 2021-ST2, Class A                   | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    492315 | PA      | $460267.95    | 0.08%             | 2027-04-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                                    | Freedom Mortgage Corporation Series 22-GT2 Class A                      | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2212047.72   | 0.38%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| SHELTER GROWTH CRE ISSUER LTD                                            | Shelter Growth Series 2021-FL3, Class A                                 | CUSIP: 822866AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    320448 | PA      | $310550.62    | 0.05%             | 2036-09-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| CLI FUNDING VI LLC                                                       | CLI Funding VI LLC Series 2020-1 Class B                                | CUSIP: 12563LAP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498063 | PA      | $432666.82    | 0.07%             | 2045-09-18      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| UPGRADE MASTER PASS - THRU TRUST                                         | Upgrade Master Pass-Thru Trust Series 19-ST1 Class A                    | CUSIP: 91531UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10301 | PA      | $10218.97     | 0.00%             | 2025-07-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-129, Class PL      | CUSIP: 38383UCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGA              | US        |   3595000 | PA      | $3077861.41   | 0.52%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hero Fdg 2016-3                                                          | Hero Funding Trust Series 2016-3A Class A1                              | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137337 | PA      | $128390.52    | 0.02%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN 464107                    | CUSIP: 31381LR41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107040 | PA      | $108039.81    | 0.02%             | 2029-12-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                         | Royal Dutch Shell PLC 2.375%, Due 11/07/2029                            | CUSIP: 822582CD2<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    645000 | PA      | $557438.06    | 0.09%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-35 Class YT           | CUSIP: 3136ADSD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    150466 | PA      | $155450.85    | 0.03%             | 2032-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST                                         | Newtek Small Business Loan Trust Series 2018-1 Class B                  | CUSIP: 65252MAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    104010 | PA      | $102695.66    | 0.02%             | 2044-02-25      | Floating      | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-149, Class ZB      | CUSIP: 38382XCC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    296213 | PA      | $185689.65    | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                       | Energy Transfer Operating LP 4.500%, Due 04/15/2024                     | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73932.32     | 0.01%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-01 Class AI           | CUSIP: 3136B0WV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1680369 | PA      | $325842.42    | 0.06%             | 2048-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KeyBank National Association                                             | Keybank National Association Floater, Due 01/03/2024                    | CUSIP: 49327M3A0<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499920.95    | 0.08%             | 2024-01-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-77, Class BY          | CUSIP: 3136B3JW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2738639 | PA      | $2378863.15   | 0.40%             | 2048-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 3.62%, Due 04/17/2025                                    | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97580.30     | 0.02%             | 2025-04-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DTE Energy Company                                                       | DTE Energy Company 2.85%, Due 10/01/2026                                | CUSIP: 233331AY3<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92130.32     | 0.02%             | 2026-10-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication Series 2004-61, Ckass GO          | CUSIP: 31394ARR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    363337 | PA      | $313979.16    | 0.05%             | 2032-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                            | US Bancorp 4.548%, Due 07/22/2028                                       | CUSIP: 91159HJF8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    300000 | PA      | $292982.99    | 0.05%             | 2028-07-22      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FARM MORTGAGE TRUST                                                      | FARM Mortgage Trust Series 2021-1, Class A                              | CUSIP: 30768WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5582152 | PA      | $4747904.85   | 0.81%             | 2051-01-25      | Floating      | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5072, Class DG            | CUSIP: 3137F96P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    833533 | PA      | $642502.55    | 0.11%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2017-H18 Class EB       | CUSIP: 38376R6W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    175144 | PA      | $173473.43    | 0.03%             | 2063-06-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2010-118, Class DZ         | CUSIP: 31398NUV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1341607 | PA      | $1291370.38   | 0.22%             | 2040-10-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | CitiGroup Incorporated 3.07%, Due 02/24/2028                            | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    800000 | PA      | $721223.06    | 0.12%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 12-134 Class KM         | CUSIP: 38378GBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    342000 | PA      | $267360.38    | 0.05%             | 2042-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                     | Extended Stay America Trust Series 2021-ESH, Class E                    | CUSIP: 30227FAL4<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    976192 | PA      | $929667.60    | 0.16%             | 2038-07-15      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                | J.P. Morgan Wealth Management Series 2021-CL1, Class M1                 | CUSIP: 46591HBK5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    659141 | PA      | $580713.36    | 0.10%             | 2071-02-26      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                               | Mercury Financial Credit Card Series 2022-3A, Class B                   | CUSIP: 58940BAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2505263.50   | 0.43%             | 2027-06-21      | Fixed         | 10.68%                | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4750 Class KZ             | CUSIP: 3137FDDG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1548226 | PA      | $1413798.44   | 0.24%             | 2048-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN AM5015                    | CUSIP: 3138L5SD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738295 | PA      | $717330.15    | 0.12%             | 2043-12-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2005-3 Class CG            | CUSIP: 31394CBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    125824 | PA      | $125424.19    | 0.02%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. Treasury Bonds 1.125%, Due 08/15/2040                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16000000 | PA      | $9936249.92   | 1.69%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                          | CVS Health Corporation 5.05%, Due 03/25/2048                            | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    250000 | PA      | $224386.22    | 0.04%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                      | Fifth Third Bancorp 6.361%, Due 10/27/2028                              | CUSIP: 316773DJ6<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514447.04    | 0.09%             | 2028-10-27      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corporation                                             | Norfolk Sourthern Corporation 3.00%, Due 03/15/2032                     | CUSIP: 655844CM8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    600000 | PA      | $512260.85    | 0.09%             | 2032-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Verizon Communications Inc.                                              | Verizon Communications, Inc. 2.355%, Due 03/15/2032                     | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1237000 | PA      | $980572.47    | 0.17%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST                                         | Newtek Small Business Loan Trust Series 2018-1 Class A                  | CUSIP: 65252MAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    395236 | PA      | $388586.57    | 0.07%             | 2044-02-25      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| MILL CITY SOLAR LOAN LTD                                                 | Mill City Solar Loan LTD Series 19-2GS Class A                          | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129514 | PA      | $116189.42    | 0.02%             | 2043-07-20      | Fixed         | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2015-11 Class MZ           | CUSIP: 3136AMXR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4975477 | PA      | $4657990.10   | 0.79%             | 2043-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC                                            | College Avenue Student Loans Series 2019-A Class A1                     | CUSIP: 19421UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105361 | PA      | $102032.48    | 0.02%             | 2048-12-28      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Pool S0-6829                     | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276435 | PA      | $216629.27    | 0.04%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                                         | MF1 Multifamily Housing Mortgage Trust Series 2021-FL5, Class A         | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    705968 | PA      | $683689.29    | 0.12%             | 2036-07-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group Inc                                         | PNC Financial Services 6.037%, Due 10/28/2033                           | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    850000 | PA      | $884934.73    | 0.15%             | 2033-10-28      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING 2021-D,LLC                                    | A10 Securitization Series 2021-D, Class D                               | CUSIP: 04681EAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1241661 | PA      | $1112498.81   | 0.19%             | 2038-10-01      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp. Series 4377 Class KZ                   | CUSIP: 3137BDBN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    834244 | PA      | $729819.64    | 0.12%             | 2052-02-15      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN MA2198                    | CUSIP: 31418BNQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263831 | PA      | $252868.48    | 0.04%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury STRIPS 0.000%, Due 11/15/2031                             | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1399741.18   | 0.24%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-10, Class QJ       | CUSIP: 38383GAH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1158766 | PA      | $778429.33    | 0.13%             | 2052-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4006 Class IA             | CUSIP: 3137ALS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    360371 | PA      | $35313.90     | 0.01%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pacific Life Global Funding II                                           | Pacific Life Global Fund II 1.45%, Due 01/20/2028                       | CUSIP: 6944PL2D0<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    500000 | PA      | $409819.39    | 0.07%             | 2028-01-20      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| PPG Industries, Inc.                                                     | PPG Industries, Inc. 2.550%, Due 06/15/2030                             | CUSIP: 693506BS5<br>LEI: 549300BKPEP01R3V6C59 | Long             | DBT              | CORP              | US        |    300000 | PA      | $251912.94    | 0.04%             | 2030-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2016-74 Class PL         | CUSIP: 38379WXZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1024221 | PA      | $907738.39    | 0.15%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                              | Abbvie, Inc. 3.20%, Due 11/21/2029                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    750000 | PA      | $676105.50    | 0.11%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| READY CAPITAL MORTGAGE FINANCING LLC                                     | ReadyCap Commerical Mortgage Series 2021-FL6, Class C                   | CUSIP: 75575TAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $467561.00    | 0.08%             | 2036-07-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                 | BX TRUST SERIES 2019-OC11 CLASS A                                       | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1177000 | PA      | $984648.66    | 0.17%             | 2041-12-11      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2011-57 Class PD           | CUSIP: 31397UM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    321407 | PA      | $306414.97    | 0.05%             | 2041-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2016-120, Class YA      | CUSIP: 38380ATH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    500000 | PA      | $425970.65    | 0.07%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| L3 Harris Technologies Inc                                               | L3 Harris Technologies, Inc. 3.85%, Due 12/15/2026                      | CUSIP: 502431AL3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47683.92     | 0.01%             | 2026-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CREDITO REAL USA AUTO RECEIVABLES TRUST                                  | Credito RL USA Series 2021-1, Class A                                   | CUSIP: 22551EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328777 | PA      | $321342.75    | 0.05%             | 2027-02-16      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| Wisconsin Power and Light Company                                        | WISCONSIN PWR & LT CO SR GLBL DEB 1.95%, Due 09/16/31                   | CUSIP: 976826BP1<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    800000 | PA      | $627587.47    | 0.11%             | 2031-09-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 13-31 Class NT             | CUSIP: 3136ADFZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     36296 | PA      | $33840.11     | 0.01%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2018-H08 Class NI       | CUSIP: 38380LDK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    749831 | PA      | $5808.41      | 0.00%             | 2068-05-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares Incorporated                                       | Huntington Bankshares 2.625%, Due 08/06/2024                            | CUSIP: 446150AQ7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    125000 | PA      | $119975.86    | 0.02%             | 2024-08-06      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank of America Corporation Floater, Due 06/19/2026                     | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    150000 | PA      | $135074.26    | 0.02%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 13-5 Class GY           | CUSIP: 38378FTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    532000 | PA      | $433401.83    | 0.07%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury Strips 0.000%, Due 11/15/2034                             | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $1838318.64   | 0.31%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southwestern Electric Power Company                                      | Southwestern Electric Power 2.750%, Due 10/01/2026                      | CUSIP: 845437BP6<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92026.38     | 0.02%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide Inc        | Anheuser-Busch Cos LLC/Anheuser Busch Inbev Worldwide, Inc.             | CUSIP: 03522AAH3<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | BE        |    900000 | PA      | $849998.53    | 0.14%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                       | T-Mobile USA, Inc. 3.375%, Due 04/15/2029                               | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    400000 | PA      | $352307.80    | 0.06%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4074 Class SJ             | CUSIP: 3137ASM92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    718217 | PA      | $107039.70    | 0.02%             | 2042-07-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assocation Series 2016-80, Class CZ           | CUSIP: 3136AUFW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    607485 | PA      | $404816.13    | 0.07%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nucor Corporation                                                        | Nucor Corporation 3.125%, Due 04/01/2032                                | CUSIP: 670346AV7<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    250000 | PA      | $211907.16    | 0.04%             | 2032-04-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-60 ClassWZ            | CUSIP: 3136B6US0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    572640 | PA      | $376959.65    | 0.06%             | 2049-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2004-49 Class MZ        | CUSIP: 38374GV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    418819 | PA      | $428096.29    | 0.07%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication Series 12-9 Class FC              | CUSIP: 3136A3D24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    102194 | PA      | $100179.81    | 0.02%             | 2042-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 19-99, Class EW         | CUSIP: 38381XUZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    540446 | PA      | $451686.50    | 0.08%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank of America Corporation 1.486%, Due 05/19/2024                      | CUSIP: 06051GJC4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    655000 | PA      | $644727.11    | 0.11%             | 2024-05-19      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 18-097 Class GY         | CUSIP: 38380XJ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1162000 | PA      | $1114420.63   | 0.19%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                               | Apple Inc 2.2%, DUE 09/11/2029                                          | CUSIP: 037833DP2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    250000 | PA      | $216138.78    | 0.04%             | 2029-09-11      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Baxter International, Inc.                                               | Baxter International, Inc. 1.915%, Due 02/01/2027                       | CUSIP: 071813CL1<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    300000 | PA      | $265976.16    | 0.05%             | 2027-02-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-101 Class DO          | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    100017 | PA      | $73276.48     | 0.01%             | 2043-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| State Street Institutional Liquid Reserves Fund                          | State Street Institutional Liquid Reserves Fund, Premier Class          | CUSIP: 85749P101<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  18148392 | NS      | $18153836.10  | 3.08%             |  |  |  | No            |                  1 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                                       | Regional Management Issuance Series 21-1 Class C                        | CUSIP: 75907VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $839971.20    | 0.14%             | 2031-03-17      | Fixed         | 3.04%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corporation                                               | American Tower Corporation 3.80%, Due 08/15/2029                        | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90717.32     | 0.02%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING 2022-1 LLC                                               | Oportun Funding LLC Series 22-1, Class C                                | CUSIP: 68377XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $955237.30    | 0.16%             | 2029-06-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                    | Wells Fargo Mortgage Trust Series 21-SAVE Class B                       | CUSIP: 95003LAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681766 | PA      | $616715.63    | 0.10%             | 2040-02-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2022-4                                      | Upstart Securitization Trust Series 22-4 Class A                        | CUSIP: 91678YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2269638 | PA      | $2225689.88   | 0.38%             | 2032-08-20      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                      | Anheuser-Busch Beverage 3.50%, Due 06/01/2030                           | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    300000 | PA      | $273097.91    | 0.05%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hero Funding                                                             | Hero Funding Trust Series 2018-1A Class A2                              | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45059 | PA      | $42770.24     | 0.01%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-104 Class CY          | CUSIP: 3136AGSP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    250000 | PA      | $247701.03    | 0.04%             | 2043-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association 6.00%, Due 04/20/2036          | CUSIP: 38374MX46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    150721 | PA      | $154173.22    | 0.03%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2022-RTL1                                           | LHOME Mortgage Trust Series 22-RTL1 Class M                             | CUSIP: 50204DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1112730.75   | 0.19%             | 2027-02-25      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                 | BX Trust Series 2021-ARIA, Class E                                      | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1814434.40   | 0.31%             | 2036-10-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. Treasury Bonds 3.00%, due 02/15/2048                               | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2458945.32   | 0.42%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comerica Bank                                                            | Comerica Bank 2.50%, Due 07/23/2024                                     | CUSIP: 20034DJA8<br>LEI: 70WY0ID1N53Q4254VH70 | Long             | DBT              | CORP              | US        |    250000 | PA      | $240185.02    | 0.04%             | 2024-07-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-82 Class SB           | CUSIP: 3136AFXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    350236 | PA      | $222052.87    | 0.04%             | 2043-08-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING 2021-D,LLC                                    | A10 Securitization Series 2021-D, Class E                               | CUSIP: 04681EAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1266495 | PA      | $1122366.27   | 0.19%             | 2038-10-01      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Massmutual Global Funding II                                             | MassMutual Global Funding 1.20%, Due 07/16/2026                         | CUSIP: 57629WDE7<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    400000 | PA      | $352057.01    | 0.06%             | 2026-07-16      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN 252409                    | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54615 | PA      | $55357.71     | 0.01%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 2021-FL2, LTD.                 | Arbor Realty Collateralized Loan Series 21-FL2 Class AS                 | CUSIP: 03881EAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    865000 | PA      | $826824.96    | 0.14%             | 2036-05-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| CFMT 2022-HB8 LLC                                                        | Cascade Funding Mortgage Trust Series 22-HB8 Class A                    | CUSIP: 12526WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1465110 | PA      | $1406874.80   | 0.24%             | 2025-04-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| LOANCORE 2019-CRE3 ISSUER LTD                                            | LoanCore Issuer Ltd. Series 2019-CRE3, Class D                          | CUSIP: 53947DAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1170000 | PA      | $1148263.74   | 0.19%             | 2036-05-15      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                  | Mosaic Solar Loans, LLC Series 2018-1A Class A                          | CUSIP: 61946FAA3<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |     71627 | PA      | $66064.24     | 0.01%             | 2043-06-22      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                                       | Regional Management Issuance Trust Series 2020-1 Class A                | CUSIP: 75907QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1487112.64   | 0.25%             | 2030-10-15      | Fixed         | 2.34%                 | Yes           |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                                             | Hawaii Hotel Trust Series 2019-MAUI, Class A                            | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $971124.90    | 0.16%             | 2038-05-17      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST                                             | Veros Auto Receivables Trust Series 21-1 Class B                        | CUSIP: 92512BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $943552.50    | 0.16%             | 2026-10-15      | Fixed         | 1.49%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-2                                    | RMF Proprietary Issuance Trust Series 2022-2, Class M3                  | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $693284.68    | 0.12%             | 2062-06-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| AREIT 2021-CRE6 LTD                                                      | AREIT CRE Trust Series 2022-CRE6, Class A                               | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2095312 | PA      | $2013790.17   | 0.34%             | 2037-01-16      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| QUALCOMM Inc.                                                            | Qualcomm Incorporated 6.0%, Due 05/20/2053                              | CUSIP: 747525BT9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    425000 | PA      | $451380.13    | 0.08%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2018-166, Class Z       | CUSIP: 38381BAV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    485302 | PA      | $414298.48    | 0.07%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                               | Government National Mortgage Association Series 2018-14 Class MZ        | CUSIP: 38380UX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    399758 | PA      | $299308.91    | 0.05%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                               | American Tower Corporation 2.1%, Due 06/15/2020                         | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79154.64     | 0.01%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-216, Class QM      | CUSIP: 38383D4Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1133749 | PA      | $620638.26    | 0.11%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                               | Amgen Incorporated 3.00%, Due 02/22/2029                                | CUSIP: 031162DD9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    500000 | PA      | $442750.67    | 0.08%             | 2029-02-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFP LTD                                                                  | PFP Series 2021-7 Class A                                               | CUSIP: 69290LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    193139 | PA      | $188749.24    | 0.03%             | 2038-04-16      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| PPL Electric Utilities Corporation                                       | PPL Electric Utilities 3.00%, Due 10/01/2019                            | CUSIP: 69351UAW3<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    160000 | PA      | $107890.26    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication Series 18-31 Class KB             | CUSIP: 3136B1YC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    219951 | PA      | $200077.26    | 0.03%             | 2048-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AN7612                       | CUSIP: 3138LLN68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $226022.72    | 0.04%             | 2032-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                               | Amgen, Inc. 1.90%, Due 02/21/2025                                       | CUSIP: 031162CV0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    310000 | PA      | $290834.04    | 0.05%             | 2025-02-21      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                     | Freedom Mortgage Trust Series 18-KF42 Class B                           | CUSIP: 30306MAG4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    603756 | PA      | $586400.25    | 0.10%             | 2024-12-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2017-080 Class BZ       | CUSIP: 38376U3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    425415 | PA      | $331611.70    | 0.06%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp Pool RE-0015                            | CUSIP: 3133LWAQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6519301 | PA      | $5812446.10   | 0.99%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST                                               | Upstart Pass Through Trust Series 21-ST4 Class A                        | CUSIP: 91534HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1439011 | PA      | $1330662.60   | 0.23%             | 2027-07-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Abbott Laboratories                                                      | Abbott Laboratories 4.75%, Due 11/30/2036                               | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98983.77     | 0.02%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                                                | Toyota Motor Credit Corp. 0.8%, Due 01/09/2026                          | CUSIP: 89236THW8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    300000 | PA      | $267280.67    | 0.05%             | 2026-01-09      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JP Morgan Chase and Co. 1.578%, Due 04/22/2027                          | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    400000 | PA      | $351464.98    | 0.06%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                | J.P. Morgan Wealth Management Series 2021-CL1, Class M3                 | CUSIP: 46591HBM1<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    497490 | PA      | $432365.73    | 0.07%             | 2071-02-26      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Principal Only                   | CUSIP: 31397A4K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    119941 | PA      | $102047.38    | 0.02%             | 2036-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2006-56 Class DC           | CUSIP: 31395NXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    408253 | PA      | $412144.93    | 0.07%             | 2036-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2014-42 Class SN           | CUSIP: 3136AKPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    384747 | PA      | $38772.77     | 0.01%             | 2044-07-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                      | Dominion Energy Inc 1.45%, Due 04/15/2026                               | CUSIP: 25746UDJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    750000 | PA      | $667697.39    | 0.11%             | 2026-04-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                               | Progress Residential Trust Series 21-SFR1 Class E                       | CUSIP: 74331FAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1058000 | PA      | $890740.99    | 0.15%             | 2038-04-17      | Fixed         | 2.11%                 | Yes           |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES LLC                                              | Business Jet Securities , LLC Series 21-1A Class B                      | CUSIP: 12327BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298375 | PA      | $252889.08    | 0.04%             | 2036-04-15      | Fixed         | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Pool S0-6050                     | CUSIP: 3128HXWK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154439 | PA      | $117127.17    | 0.02%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2018-105, Class ZK       | CUSIP: 38380YRT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    475568 | PA      | $422986.00    | 0.07%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                         | Shell International Finance BV 6.375%, Due 12/15/38                     | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     73000 | PA      | $80260.98     | 0.01%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Laboratory Corp of America Holdings                                      | Laboratory Corporation American Holdings 1.55%, Due 06/01/2026          | CUSIP: 50540RAX0<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    375000 | PA      | $332125.89    | 0.06%             | 2026-06-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Bx Trust 2021-View                                                       | BX Trust Series 2021-VIEW, Class E                                      | CUSIP: 05606GAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2268430.75   | 0.39%             | 2036-06-15      | Floating      | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-99 Class UY           | CUSIP: 3136A8WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    360000 | PA      | $281291.33    | 0.05%             | 2042-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST                          | Multifamily Conn Ave Series 2020-01, Class M-7                          | CUSIP: 62548QAB7<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-O            | CORP              | US        |     72846 | PA      | $71344.24     | 0.01%             | 2050-03-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assoication Series 20-133, Class ZM        | CUSIP: 38382JG42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    491889 | PA      | $179755.77    | 0.03%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AN3598                       | CUSIP: 3138LF7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264772 | PA      | $240462.88    | 0.04%             | 2028-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                              | Verizon Communications, Inc. 4.125%, Due 03/16/2027                     | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97394.19     | 0.02%             | 2027-03-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 237 Class S14             | CUSIP: 31282YEU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289651 | PA      | $33199.90     | 0.01%             | 2036-05-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2014-H15 Class FA       | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     70167 | PA      | $69404.68     | 0.01%             | 2064-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST                         | Continental Credit Card LLC Series 2021-A, Class B                      | CUSIP: 66981PAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $459044.70    | 0.08%             | 2029-12-17      | Fixed         | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen  2017-2                                                        | Goodgreen Trust Series 17-2A Class A                                    | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648805 | PA      | $582900.09    | 0.10%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2017-H16 Class DB       | CUSIP: 38375UE89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     40350 | PA      | $39531.15     | 0.01%             | 2067-08-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| PRODIGY FINANCE CM2021-1 DESIGNATED ACTIVITY COMPANY                     | Prodigy Finance Series 2021-1A, Class A                                 | CUSIP: 742855AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498990 | PA      | $482150.24    | 0.08%             | 2051-07-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury Strips 0.000%, Due 02/15/2036                             | CUSIP: 9128335B2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10250000 | PA      | $5965673.74   | 1.01%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST                                                   | Tesla Auto Lease Trust Series 2021-B, Class D                           | CUSIP: 88161KAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1289512.28   | 0.22%             | 2025-09-22      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                             | BX Commercial Mortgage Trust 2021-VOLT Class B                          | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $707051.10    | 0.12%             | 2036-09-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST                                                     | LHFC Depositor, LLC Series 2020-RTL1, Class A2                          | CUSIP: 50201TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $725421.90    | 0.12%             | 2024-10-25      | Fixed         | 3.72%                 | Yes           |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST                                                   | Lendmark Funding Trust Series 21-1A Class C                             | CUSIP: 52607MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $593466.38    | 0.10%             | 2031-11-20      | Fixed         | 3.41%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication SERIES 2012-128 CLASS SH          | CUSIP: 3136A9VH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    465268 | PA      | $320278.09    | 0.05%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup, Inc. 3.30%, Due 04/27/2025                                   | CUSIP: 172967JP7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96826.24     | 0.02%             | 2025-04-27      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2012-113 Class NZ       | CUSIP: 38378HSU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    288413 | PA      | $273907.48    | 0.05%             | 2042-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup Inc 0.981%, Due 05/01/2025                                    | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    500000 | PA      | $468220.38    | 0.08%             | 2025-05-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                               | Mercury Financial Credit Card Series 2021-1A, Class B                   | CUSIP: 58940BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600000 | PA      | $2420691.78   | 0.41%             | 2026-03-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| GENESIS SALES FINANCE MASTER TRUST                                       | Genesis Sales Finance Master Series 21-AA Class D                       | CUSIP: 37186XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $677390.40    | 0.12%             | 2026-12-21      | Fixed         | 2.09%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2022-Z1                                | Affirm Incorporated Series 22-Z1 Class B                                | CUSIP: 00833PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1418816.25   | 0.24%             | 2027-06-15      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                     | FREMF Mortgage Trust Series 2019-KF67, Class B                          | CUSIP: 30298NAG2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    394553 | PA      | $364570.39    | 0.06%             | 2029-08-25      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| FHF TRUST 2021-1                                                         | FHF Trust Series 2021-1A, Class A                                       | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    389029 | PA      | $372809.80    | 0.06%             | 2027-03-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust 2019-SFR4                                     | Projgress Residential Trust Series 19-SFR4 Class A                      | CUSIP: 74331AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $355132.99    | 0.06%             | 2036-10-17      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Principal Only                   | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     73360 | PA      | $59930.66     | 0.01%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-8 Class ZD            | CUSIP: 3136B3W97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    571680 | PA      | $529423.03    | 0.09%             | 2049-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                     | FREMF Mortgage Trust Series 2019-KF57 CLASS B                           | CUSIP: 30297VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    984593 | PA      | $919991.47    | 0.16%             | 2029-01-25      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury Strips 0.000%, Due 05/15/2033                             | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $1378373.64   | 0.23%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| Sofi Professional Ln Program 2019-C Tr                                   | Social Pofessional Loan Program Series 19-C Class BFX                   | CUSIP: 83401CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1130000 | PA      | $886128.03    | 0.15%             | 2048-11-16      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST                                                     | LHOME Mortgage Trust Series 2021-RTL2, Class A2                         | CUSIP: 501895AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $613157.37    | 0.10%             | 2026-06-25      | Fixed         | 2.78%                 | Yes           |                  2 | On Loan: No      |
| Dell International L.L.C. and EMC Corporation                            | Dell International LLC / EMC Corp. 5.3%, Due 10/01/2029                 | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $97800.21     | 0.02%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | GOV'T NATIONAL MORTGAGE ASSOC Series 18-120 Class PY                    | CUSIP: 38380YTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    689379 | PA      | $637453.32    | 0.11%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2021-B                                            | Oportun Funding LLC Series 2021-B, Class C                              | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $545703.15    | 0.09%             | 2031-05-08      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST                                                 | Octane Receivables Trust Series 2021-1A, Class C                        | CUSIP: 67571AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $504604.54    | 0.09%             | 2028-11-20      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress Inc                                                 | Duke Energy Progress Incorporation 2.00%, Due 08/15/2031                | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    600000 | PA      | $474109.05    | 0.08%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST                                                | Avant Loans Funding Trust Series 21-REV1 Class C                        | CUSIP: 05353LAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1617475.50   | 0.27%             | 2030-07-15      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4768, Class ZH            | CUSIP: 3137F3K60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1535242 | PA      | $1344835.90   | 0.23%             | 2048-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                               | American Tower Corporation 1.45%, Due 09/15/2026                        | CUSIP: 03027XBR0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    300000 | PA      | $261763.07    | 0.04%             | 2026-09-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Assoication Series 4673, Class PH            | CUSIP: 3137BXEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    242347 | PA      | $233034.11    | 0.04%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2021-2                                                         | First Help Financial LLC Series 21-2A Class B                           | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    578975 | PA      | $550389.28    | 0.09%             | 2026-12-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN LTD                                                   | Loanpal Solar Loan Ltd. Series 21-1GS Class A                           | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515779 | PA      | $392258.44    | 0.07%             | 2048-01-20      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assocation Series 2012-99, Class QS           | CUSIP: 3136A8WU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1858417 | PA      | $177801.81    | 0.03%             | 2042-09-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                           | Credit Suisse First Boston Series 2018-SITE, Class C                    | CUSIP: 12690CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $281291.88    | 0.05%             | 2036-04-17      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                           | Credit Suisse First Boston Series 2018-SITE, Class A                    | CUSIP: 12690CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    727000 | PA      | $693509.87    | 0.12%             | 2036-04-17      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST                                                     | LHOME Mortgage Trust Series 2021-RTL2, Class M                          | CUSIP: 501895AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1033369.13   | 0.18%             | 2026-09-25      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Company                                                    | Wells Fargo & Company 2.188%, Due 04/30/2026                            | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $465328.93    | 0.08%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-196, Class YZ      | CUSIP: 38383DBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1093698 | PA      | $469284.94    | 0.08%             | 2051-11-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | FEDERAL NATIONAL MORTGAGE ASSOC. SERIES 4473 CLASS Z                    | CUSIP: 3137BJAZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    401632 | PA      | $311031.64    | 0.05%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corporation                                             | Truist Financial Corporation 1.887%, Due 06/07/2029                     | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $837031.81    | 0.14%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: —       |
| CARNOW AUTO RECEIVABLES TRUST                                            | CarNow Auto Receivables Trust Series 2021-1A, Class C                   | CUSIP: 14369GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $730185.83    | 0.12%             | 2026-02-17      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST                                               | Upstart Securitization Trust Series 2021-ST1 Class A                    | CUSIP: 91681MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357891 | PA      | $340618.22    | 0.06%             | 2027-02-20      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Company                                                       | Ford Motor Credit Company, LLC 4.346%, Due 12/08/2026                   | CUSIP: 345370CR9<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94834.02     | 0.02%             | 2026-12-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal Home Loan Mortgage Corporation Principal Only                   | CUSIP: 3136FENW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38617 | PA      | $30706.96     | 0.01%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corporation                                             | Truist Financial Corporation 5.90%, Due 10/28/2026                      | CUSIP: 89788MAJ1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    250000 | PA      | $255575.28    | 0.04%             | 2026-10-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| American Homes 4 Rent L P                                                | American Homes 4 Rent 4.25%, Due 02/15/2028                             | CUSIP: 02666TAA5<br>LEI: 549300ZJUO7A58PNUW40 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92466.16     | 0.02%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Public Service Company of Colorado                                       | Public Service Company of Colorado 4.50%, Due 06/01/2052                | CUSIP: 744448CX7<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    400000 | PA      | $358978.48    | 0.06%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Met Tower Global Funding                                                 | Met Tower Global Funding 3.70%, Due 06/13/2025                          | CUSIP: 58989V2E3<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |    350000 | PA      | $339363.87    | 0.06%             | 2025-06-13      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp Series 5057 Class DN                    | CUSIP: 3137F7J30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $826203.40    | 0.14%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5232, Class HL            | CUSIP: 3137H7YF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4120792 | PA      | $3589380.84   | 0.61%             | 2052-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                         | MF1 Multifamily Housing Series 2022-FL8 Class B                         | CUSIP: 55284JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1393128.00   | 0.24%             | 2037-02-19      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2015-82 Class AI           | CUSIP: 3136AQHT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    705157 | PA      | $66236.75     | 0.01%             | 2034-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST                                           | Home Partners of America Trust Serues 2019-1 Class B                    | CUSIP: 43731QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485680 | PA      | $430006.87    | 0.07%             | 2027-09-17      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Newrez LLC / Newres Gmsr Excess Owner LLC                                | NRZ Excess Spread Collateralization Series 2021-GNT1, Class A           | CUSIP: 65246QAA7<br>LEI: 549300FNXYY540N23N64 | Long             | ABS-O            | CORP              | US        |    609764 | PA      | $536825.35    | 0.09%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                      | State Street Navigator Securities Lending Portfolio I                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  19205215 | NS      | $19205215.00  | 3.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Laurel Rd Prime Sl Tr 2018-B                                             | Laurel Road Prime Student Loan Series 2018-B Class A2                   | CUSIP: 51888RAB6<br>LEI: 549300XLHGW4YH0MCQ51 | Long             | ABS-O            | CORP              | US        |     10947 | PA      | $10743.20     | 0.00%             | 2043-05-26      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Assoication Series 4847, Class CV            | CUSIP: 3137FKAD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    374761 | PA      | $359957.44    | 0.06%             | 2030-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2005-52, Class JH          | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    283214 | PA      | $16313.85     | 0.00%             | 2035-05-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                         | Bank Of Montreal France .949%, Due 01/22/2027                           | CUSIP: 06368EDC3<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | US        |    630000 | PA      | $556220.32    | 0.09%             | 2027-01-22      | Fixed         | 0.95%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                    | Federal National Mortgage Association SERIES 2012-52 CLASS PQ           | CUSIP: 3136A6AS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    683221 | PA      | $581819.56    | 0.10%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                               | Tennessee Valley Authority 4.625%, Due 09/15/2060                       | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    525000 | PA      | $490725.01    | 0.08%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                  | UnitedHealth Group, Inc. 4.75%, Due 05/15/2052                          | CUSIP: 91324PEK4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $369194.68    | 0.06%             | 2052-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp Series 5159 Class PL                    | CUSIP: 3137H3UE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1659946 | PA      | $1317318.22   | 0.22%             | 2051-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2022-3FP                                                 | Freedom Financial Series 2022-3FP, Class D                              | CUSIP: 35634EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1929182.00   | 0.33%             | 2029-08-20      | Fixed         | 7.36%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-37, Class CL          | CUSIP: 3136B15C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    622735 | PA      | $526185.67    | 0.09%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST 2022-RM4                             | Brean Asset Backed Securites Series 22-RM4 Class M1                     | CUSIP: 10638JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1013997 | PA      | $690055.36    | 0.12%             | 2062-07-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST 2022-1 LTD                                         | Toorak Mortgage Corp. Series 2022-1, Class A2                           | CUSIP: 89054JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $936475.90    | 0.16%             | 2029-03-25      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                         | Burlington North Santa Fe 5.05%, Due 03/01/2041                         | CUSIP: 12189LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $487873.50    | 0.08%             | 2041-03-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BOSTON LENDING TRUST 2022                                                | Boston Lending Trust Series 22-1 Class M2                               | CUSIP: 10084LAC5<br>LEI: 254900UWHMJRRODS3Z64 | Long             | ABS-O            | CORP              | US        |    512435 | PA      | $389249.89    | 0.07%             | 2062-02-25      | Floating      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5099, Class CM            | CUSIP: 3137FY6S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3750000 | PA      | $2615810.25   | 0.44%             | 2047-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                              | Verizion Communications Inc 3.0%, Due 03/22/2027                        | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    120000 | PA      | $111502.81    | 0.02%             | 2027-03-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool MA3050                       | CUSIP: 31418CL85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422752 | PA      | $413741.27    | 0.07%             | 2037-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd/LLC               | Arbor Realty Collateralized Loan Series 22-FL1 Class D                  | CUSIP: 03880XAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1250000 | PA      | $1161103.75   | 0.20%             | 2037-01-15      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 0.625%, Due 08/15/2030                              | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1574296.88   | 0.27%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 3895 Class BF             | CUSIP: 3137ACUF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     72927 | PA      | $71555.17     | 0.01%             | 2041-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| AREIT 2022-CRE7 LTD                                                      | AREIT CRE Trust Series 2022-CRE7, Class C                               | CUSIP: 00217VAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $872027.10    | 0.15%             | 2039-06-17      | Floating      | 8.17%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2014-H14 Class FA       | CUSIP: 38375UMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    252859 | PA      | $250344.87    | 0.04%             | 2064-07-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                           | Public Storage 1.85%, Due 05/01/2028                                    | CUSIP: 74460WAD9<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |    800000 | PA      | $686284.59    | 0.12%             | 2028-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: —       |
| ACRE COMMERCIAL MORTGAGE 2021-FL4 LTD                                    | Acre Mortgage Trust Series 21-FL4 Class E                               | CUSIP: 00489TAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    675000 | PA      | $639269.55    | 0.11%             | 2037-12-15      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| American Express Company                                                 | American Express Company 5.85%, Due 11/05/2027                          | CUSIP: 025816DB2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    250000 | PA      | $260257.63    | 0.04%             | 2027-11-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2007-95 Class A3           | CUSIP: 31396XWV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1600000 | PA      | $1371067.68   | 0.23%             | 2036-08-27      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST                                                   | Lendmark Funding Trust Series 2020-2A, Class C                          | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $460367.44    | 0.08%             | 2031-04-21      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Carrier Global Corporation                                               | Carrier Global Corporation 2.7%, Due 02/15/2031                         | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    250000 | PA      | $206313.75    | 0.04%             | 2031-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-197, Class JB      | CUSIP: 38383LFJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1500715 | PA      | $1536542.17   | 0.26%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4623, Class BZ            | CUSIP: 3137BSJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4103433 | PA      | $3775136.28   | 0.64%             | 2046-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                            | US Bancorp 2.40%, Due 07/30/2024                                        | CUSIP: 91159HHX1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96134.05     | 0.02%             | 2024-07-30      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4210 Class Z              | CUSIP: 3137B1W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    328886 | PA      | $260835.09    | 0.04%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AL5166                       | CUSIP: 3138EMW49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256403 | PA      | $232283.00    | 0.04%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2003-W10 Class 3IO         | CUSIP: 31393DUV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   9286482 | PA      | $54555.30     | 0.01%             | 2043-06-25      | Floating      | 0.18%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2021-B                                            | Oportun Funding LLC Series 2021-B                                       | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2345000 | PA      | $2048183.50   | 0.35%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 12-129 Class HT            | CUSIP: 3136AACT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     57272 | PA      | $49913.90     | 0.01%             | 2032-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hero Funding                                                             | Hero Funding Trust Series 2017-3A Class A1                              | CUSIP: 42771AAA4<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |    115714 | PA      | $105453.17    | 0.02%             | 2048-09-20      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corporation                                                      | Comcast Corporation 3.969%, Due 11/01/2047                              | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    144000 | PA      | $115038.48    | 0.02%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| PFP LTD                                                                  | PFP LTD Series 2021-8, Class A                                          | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1460426 | PA      | $1402320.12   | 0.24%             | 2037-08-16      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Company                                                    | Wells Fargo & Company 3.908%, Due 04/25/2026                            | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    625000 | PA      | $607442.02    | 0.10%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| BXMT LTD                                                                 | BXMT Series 21-FL4 Class D                                              | CUSIP: 05609GAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2250000 | PA      | $2053856.25   | 0.35%             | 2038-05-17      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Boston Properties Limited Partnership                                    | Boston Properties, L.P. 2.75%, Due 10/01/2026                           | CUSIP: 10112RAY0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45029.17     | 0.01%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DTE Energy Company                                                       | DTE Energy Company Step Bond, Due 10/01/2024                            | CUSIP: 233331AW7<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    150000 | PA      | $143380.32    | 0.02%             | 2024-10-01      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool # AS7287                     | CUSIP: 3138WHCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360345 | PA      | $351896.55    | 0.06%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DTE Energy Company                                                       | DTE Energy Company 2.95%, Due 03/01/2030                                | CUSIP: 233331BF3<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    125000 | PA      | $106195.61    | 0.02%             | 2030-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Goodgreen 2020-1 Trust                                                   | GoodGreen Trust Series 2020-1A Class A                                  | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282159 | PA      | $232080.58    | 0.04%             | 2055-04-15      | Fixed         | 2.63%                 | Yes           |                  2 | On Loan: No      |
| BXG RECEIVABLES NOTE TRUST                                               | BXG Receivables Series 2018-A, Class C                                  | CUSIP: 05607UAC3<br>LEI: 549300MVRSYZ837KPY83 | Long             | ABS-O            | CORP              | US        |    217100 | PA      | $201170.88    | 0.03%             | 2034-02-02      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Waste Management, Inc.                                                   | Waste Management Inc 3.125%, Due 03/01/2025                             | CUSIP: 94106LBA6<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $386527.78    | 0.07%             | 2025-03-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| CMS Energy Corporation                                                   | CMS Energy Corporation 2.95%, Due 02/15/2027                            | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89544.52     | 0.02%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government Naitonal Mortgage Association Series 2011-21 , Class SA      | CUSIP: 38377TVT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1520558 | PA      | $148582.54    | 0.03%             | 2041-02-16      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-08 Class DZ           | CUSIP: 3136B0VY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    671805 | PA      | $600829.04    | 0.10%             | 2048-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                       | T Mobile USA Incorporated 5.65%, Due 01/15/2053                         | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    400000 | PA      | $387155.72    | 0.07%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Southwest Airlines Co.                                                   | Southwest Airlines Company 2.625%, Due 02/10/2030                       | CUSIP: 844741BF4<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $331889.92    | 0.06%             | 2030-02-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4941, Class NW            | CUSIP: 3137FQU43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    758520 | PA      | $506792.39    | 0.09%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank of America Corporation Floating Rate,  Due 01/20/2028              | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93311.60     | 0.02%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp Series 4801 Class ZN                    | CUSIP: 3137FG3P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    901541 | PA      | $847207.62    | 0.14%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2003-W10 Class 3A-5        | CUSIP: 31393DUU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    526782 | PA      | $499977.62    | 0.08%             | 2043-06-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Association Series 4265 Class FD             | CUSIP: 3137B5QZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    216569 | PA      | $212746.22    | 0.04%             | 2035-01-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                       | Met Life Global Funding I 4.30%, Due 08/25/2029                         | CUSIP: 59217GFD6<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $949927.85    | 0.16%             | 2029-08-25      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| CSX Corporation                                                          | CSX Corporation 4.25%, Due 11/01/2066                                   | CUSIP: 126408HG1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    100000 | PA      | $78415.56     | 0.01%             | 2066-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GENESIS SALES FINANCE MASTER TRUST                                       | Genesis Sales Finance Master Series 22-A Class D                        | CUSIP: 37186XAU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1491930.45   | 0.25%             | 2027-09-20      | Fixed         | 10.97%                | Yes           |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST                         | Continental Credit Card LLC Series 20-1A Class B                        | CUSIP: 66981PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1094567.16   | 0.19%             | 2028-12-15      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-148 Class IA          | CUSIP: 3136ABNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    144499 | PA      | $8311.56      | 0.00%             | 2028-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury STRIPS 0.000%, Due 08/15/2041                             | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $452062.17    | 0.08%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS III ISSUER LLC                                            | Helios Issuer, LLC Series 2019-AA Class A                               | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93676 | PA      | $83256.27     | 0.01%             | 2046-06-20      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                        | Structured Asset Securities Corporation Series 2003-37A Class 2A        | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8552 | PA      | $7912.52      | 0.00%             | 2033-12-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2009-19 Class TD           | CUSIP: 31397NUG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     73790 | PA      | $73388.88     | 0.01%             | 2036-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-35 Class LP           | CUSIP: 3136ADTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    419000 | PA      | $390597.67    | 0.07%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                       | Northwestern Mutual Global 4.0%, Due 07/01/2025                         | CUSIP: 66815L2J7<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    400000 | PA      | $392128.66    | 0.07%             | 2025-07-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                                    | FMC GMSR Issue Trust Series 2021-GT1, Class A                           | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2192811.48   | 0.37%             | 2026-07-25      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Renew 2017-2                                                             | Renew Financial, LLC Series 2017-2A Class A                             | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32403 | PA      | $28415.97     | 0.00%             | 2053-09-22      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2022-Z1                                | Affirm, Inc. Series 2022-Z1, Class A                                    | CUSIP: 00833PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1308784 | PA      | $1275662.07   | 0.22%             | 2027-06-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2021-15 Class HD           | CUSIP: 3136BFWW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    998831 | PA      | $743512.82    | 0.13%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST                                                  | Mosaic Solar Loans LLC Series 2020-1A, Class A                          | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276660 | PA      | $240158.07    | 0.04%             | 2046-04-20      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR5 TRUST                                     | Progress Residential Trust Series 2022-SFR5, Class E1                   | CUSIP: 74332YAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $726926.96    | 0.12%             | 2039-06-17      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| John Deere Capital Corporation                                           | John Deere Capital Corporation 4.35%, Due 09/15/2032                    | CUSIP: 24422EWL9<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    400000 | PA      | $388576.78    | 0.07%             | 2032-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                                             | Upstart Securitization Trust Series 2021-3, Class B                     | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $464947.45    | 0.08%             | 2031-07-20      | Fixed         | 1.66%                 | Yes           |                  2 | On Loan: No      |
| Discover Bank                                                            | Discover Bank 2.70%, Due 02/06/2030                                     | CUSIP: 25466AAR2<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    250000 | PA      | $200119.87    | 0.03%             | 2030-02-06      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Spirit Realty LP                                                         | SPIRIT REALTY 3.2%, DUE 02/15/2031                                      | CUSIP: 84861TAG3<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $199595.20    | 0.03%             | 2031-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank of America Corporation 4.948%, Due 07/22/2028                      | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    175000 | PA      | $170915.62    | 0.03%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2010-44 Class CS           | CUSIP: 31398PWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     39078 | PA      | $3700.96      | 0.00%             | 2040-05-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                              | Abbvie Inc. 2.95%, Due 11/21/2026                                       | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    335000 | PA      | $311544.69    | 0.05%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                  | Exxon Mobil Corporation 3.043%, Due 03/01/2026                          | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    250000 | PA      | $238441.14    | 0.04%             | 2026-03-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 13-115, Class PB           | CUSIP: 3136AG5V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    300000 | PA      | $274239.87    | 0.05%             | 2043-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HIN TIMESHARE TRUST                                                      | Holiday Inn Timeshare Trust Series 20-A Class C                         | CUSIP: 40439HAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329784 | PA      | $302282.44    | 0.05%             | 2039-10-09      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust 2018                                                            | BX Trust Series 2018-GW, Class D                                        | CUSIP: 12433UAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    785000 | PA      | $753411.05    | 0.13%             | 2035-05-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 2021-MN1                  | CUSIP: 35563FAA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   1035163 | PA      | $968746.85    | 0.16%             | 2051-01-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| John Deere Capital Corporation                                           | John Deere Capital Corporation 4.85%, Due 10/11/2029                    | CUSIP: 24422EWN5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    350000 | PA      | $350340.57    | 0.06%             | 2029-10-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                      | Realty Income Corporation 3.00%, Due 01/15/2027                         | CUSIP: 756109AS3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92444.96     | 0.02%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-40, Class PL          | CUSIP: 3136B4E38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    318000 | PA      | $260231.55    | 0.04%             | 2049-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FMC Corporation                                                          | FMC Corporation 3.45%, Due 10/01/2029                                   | CUSIP: 302491AU9<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |    300000 | PA      | $264424.55    | 0.04%             | 2029-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| U.S. Bancorp.                                                            | US Bankcorp 2.215%, Due 01/27/2028                                      | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    800000 | PA      | $719088.04    | 0.12%             | 2028-01-27      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2012-74 Class LY        | CUSIP: 38375CZ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    330000 | PA      | $253749.41    | 0.04%             | 2042-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FARM MORTGAGE TRUST                                                      | Farmer Mac Agricultural Real Estate Series 22-1 Class A                 | CUSIP: 30328CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3447741 | PA      | $2918843.47   | 0.50%             | 2051-07-25      | Floating      | 2.54%                 | Yes           |                  2 | On Loan: No      |
| Spirit Realty LP                                                         | Spirit Realty 2.1%, Due 03/15/2028                                      | CUSIP: 84861TAH1<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $203835.04    | 0.03%             | 2028-03-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corporation                                                 | Atmos Energy Corporation 2.625%, Due 09/15/2029                         | CUSIP: 049560AR6<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    310000 | PA      | $268907.07    | 0.05%             | 2029-09-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association SERIES 2016-118 CLASS LB       | CUSIP: 38380AUC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    500000 | PA      | $431485.95    | 0.07%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                 | AT&T, Inc. 2.300%, Due 06/01/2027                                       | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    650000 | PA      | $578102.75    | 0.10%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-83, Class EB          | CUSIP: 3136B8BY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    171000 | PA      | $100902.29    | 0.02%             | 2050-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U. S. Treasury Strips 0.000%, Due 08/15/2043                            | CUSIP: 912834DU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $3089428.38   | 0.52%             | 2038-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SPS SERVICER ADVANCE RECEIVABLES TRUST II                                | SPS Servicer Advance Receivables Series 2020-T2, Class D                | CUSIP: 78472JAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    994000 | PA      | $834694.50    | 0.14%             | 2055-11-15      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST                                           | RMF Proprietary Issuance Trust Series 2021-2, Class A                   | CUSIP: 74969VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1419504 | PA      | $1220773.53   | 0.21%             | 2061-09-25      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Fidelity National Information Services Inc                               | Fidelity National Information Services 1.65%, Due 03/01/2028            | CUSIP: 31620MBS4<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    300000 | PA      | $248352.65    | 0.04%             | 2028-03-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Sereis 398 Class C5               | CUSIP: 3136FGRD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635610 | PA      | $126469.41    | 0.02%             | 2039-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Home Partners Of America Trust 2019-2                                    | Home Partners of America Trust Series 2019-2 Class B                    | CUSIP: 43732TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600480 | PA      | $522783.56    | 0.09%             | 2039-10-19      | Fixed         | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN 469130                    | CUSIP: 31381SEB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123515 | PA      | $119125.47    | 0.02%             | 2041-10-01      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Pool FG U59010                   | CUSIP: 3132FTAL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283080 | PA      | $268798.21    | 0.05%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                 | Visa Inc. 3.150%, Due 12/14/2025                                        | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    800000 | PA      | $771257.79    | 0.13%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CubeSmart L.P.                                                           | CubeSmart, L.P. 2.25%, Due 12/15/2028                                   | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1318657.90   | 0.22%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-79 Class QB           | CUSIP: 3136A7LK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    115726 | PA      | $101442.62    | 0.02%             | 2042-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2020-093, Class AZ       | CUSIP: 38382FF33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    837438 | PA      | $566909.99    | 0.10%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citizens Bank National Association                                       | Citizens Bank 4.575%, Due 08/09/2028                                    | CUSIP: 75524KPG3<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1303358.61   | 0.22%             | 2028-08-09      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| BDS LTD                                                                  | BDS Ltd. Series 2021-FL8, Class D                                       | CUSIP: 05493JAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $915906.00    | 0.16%             | 2036-01-18      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Mosaic Solar Loans Llc 2017-1                                            | Mosaic solar Loans LLC Series 2017-2A Class B                           | CUSIP: 61946GAB9<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |     41650 | PA      | $38714.17     | 0.01%             | 2043-06-22      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2017-16, Class UW          | CUSIP: 3136AVZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2044494 | PA      | $1738512.57   | 0.30%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom International Finance B.V.                              | Deutsche Telekom International Finance 4.75%, Due 06/21/2038            | CUSIP: 25156PBC6<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90532.15     | 0.02%             | 2038-06-21      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST 2022-1                                  | Newtek Small Business Loan Trust Series 2022-1, Class B                 | CUSIP: 65254BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1419189 | PA      | $1398563.44   | 0.24%             | 2049-10-25      | Floating      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication Series 209-31, Class CI           | CUSIP: 3136B5MM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    908517 | PA      | $71338.18     | 0.01%             | 2047-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Association Series 4531 Class PZ             | CUSIP: 3137BLY44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1401295 | PA      | $1241658.77   | 0.21%             | 2045-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5162, Class AP            | CUSIP: 3137H44X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2816473 | PA      | $2373317.27   | 0.40%             | 2051-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE TRUST                                          | Colony American Finance Limited Series 20-4 Class E                     | CUSIP: 21873AAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $546769.73    | 0.09%             | 2052-12-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding 2015-1                                             | Athene Global Funding 2.50%, Due 01/14/2025                             | CUSIP: 04685A2L4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    225000 | PA      | $210712.68    | 0.04%             | 2025-01-14      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 3.625%, Due 01/20/2027                                   | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94301.51     | 0.02%             | 2027-01-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                    | Georgia Power Company 2.10%, due 7/30/2023                              | CUSIP: 373334KM2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    230000 | PA      | $226000.27    | 0.04%             | 2023-07-30      | Fixed         | 2.10%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-86, Class MB       | CUSIP: 38382QPY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    671955 | PA      | $509792.86    | 0.09%             | 2051-05-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                       | Northwestern Mutual Global Funding 4.35%, Due 09/15/2027                | CUSIP: 66815L2K4<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    400000 | PA      | $389438.08    | 0.07%             | 2027-09-15      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2016-30 Class IN           | CUSIP: 3136ARX94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1026711 | PA      | $58630.42     | 0.01%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-56 Class WC           | CUSIP: 3136A6WE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    851000 | PA      | $749769.38    | 0.13%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                                    | FMC GMSR Issue Trust Series 2020-GT1, Class A                           | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1528705.15   | 0.26%             | 2026-01-25      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust 2018                                                            | BX Trust Series 2018-GW, Class E                                        | CUSIP: 12433UAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1802000 | PA      | $1724958.91   | 0.29%             | 2037-05-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4074 Class JY             | CUSIP: 3137ASKV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    475000 | PA      | $402154.86    | 0.07%             | 2042-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp Series 4745 Class CZ                    | CUSIP: 3137FDBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1190943 | PA      | $1042639.17   | 0.18%             | 2048-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                | Toronto Dominion Bank 3.2%, Due 03/10/2032                              | CUSIP: 89114TZV7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |    236000 | PA      | $203188.52    | 0.03%             | 2032-03-10      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| Ameriprise Financial, Inc.                                               | Ameriprise Financial Incorporated 4.50%, Due 05/13/2032                 | CUSIP: 03076CAL0<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |    400000 | PA      | $387363.30    | 0.07%             | 2032-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Home Depot Inc                                                           | Home Depot Incorporated 4.50%, Due 09/15/2032                           | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    400000 | PA      | $390560.34    | 0.07%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Regions Financial Corporation                                            | Regions Financial 2.25%, DUE 05/18/2025                                 | CUSIP: 7591EPAQ3<br>LEI: CW05CS5KW59QTC0DG824 | Long             | DBT              | CORP              | US        |    275000 | PA      | $256990.49    | 0.04%             | 2025-05-18      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Duke Energy Corp                                                         | Duke Energy Corporation 4.3%, Due 03/15/2028                            | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    825000 | PA      | $793834.53    | 0.13%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                               | Apple, Inc. 4.1%, Due 08/08/2062                                        | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    425000 | PA      | $353265.28    | 0.06%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares Incorporated                                       | Huntington Bancshares 4.443%, Due 08/04/2028                            | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    750000 | PA      | $714391.64    | 0.12%             | 2028-08-04      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                     | FREMG Mortgage Trust Series 2018-KF50, Class B                          | CUSIP: 35709BAC9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    338254 | PA      | $306374.35    | 0.05%             | 2028-07-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| SUNNOVA SOL II ISSUER LLC                                                | Sunnova Solar Issuer, LLC Series 2020-2A Class A                        | CUSIP: 86745PAA1<br>LEI: 549300JK1Y1VVC3JU540 | Long             | ABS-O            | CORP              | US        |   1044019 | PA      | $818935.84    | 0.14%             | 2055-11-01      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST 2022-RM5                             | Brean Asset Backed Securities Series 2022-RM5, Class M1                 | CUSIP: 10637WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2322496 | PA      | $1690678.78   | 0.29%             | 2062-09-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| The Kroger Co.                                                           | Kroger Company 1.70%, Due 01/15/2031                                    | CUSIP: 501044DQ1<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    550000 | PA      | $424028.07    | 0.07%             | 2031-01-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2003-W2 Class 1-1A         | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    638052 | PA      | $648587.09    | 0.11%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal Home Loan Mortgage Corporation SERIES 2006-71 CLASS ZH          | CUSIP: 31396KUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    252029 | PA      | $259897.67    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                | Toronto-Dominion Bank / The 0.75%, Due 01/06/2026                       | CUSIP: 89114QCP1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |    350000 | PA      | $309478.22    | 0.05%             | 2026-01-06      | Fixed         | 0.75%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Sieres 384 Class 11               | CUSIP: 3136FES37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538823 | PA      | $85626.23     | 0.01%             | 2035-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup, Inc. 4.125%, Due 07/25/2028                                  | CUSIP: 172967KU4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139611.98    | 0.02%             | 2028-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                | Toronto Dominion Bank 1.20%, Due 06/03/2026                             | CUSIP: 89114TZD7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176354.07    | 0.03%             | 2026-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BM6011                       | CUSIP: 3140JAVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596605 | PA      | $571852.32    | 0.10%             | 2026-11-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2005-62, Class ZL          | CUSIP: 31394EPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    225547 | PA      | $228024.50    | 0.04%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Co 2.545%, Due 11/08/2032                              | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    475000 | PA      | $375454.72    | 0.06%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp Series 4753 Class EZ                    | CUSIP: 3137FDVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2088726 | PA      | $1890947.46   | 0.32%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIBLYASSET SECURITIZATION II LLC                                      | Credibility Asset Securitization Series 21-1A Class B                   | CUSIP: 22534NAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1146744.25   | 0.19%             | 2026-04-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                     | Freedom Mortgage Trust Series 2018-KF53 Class B                         | CUSIP: 35708AAG3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    491756 | PA      | $482246.26    | 0.08%             | 2025-10-27      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 3811 Class TA             | CUSIP: 3137A6JS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    262142 | PA      | $262589.00    | 0.04%             | 2041-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Pool G2 CN5057                  | CUSIP: 3617F4TN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2624857 | PA      | $2505139.78   | 0.43%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2019-031, Class AZ      | CUSIP: 38381RYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    222877 | PA      | $220342.11    | 0.04%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROC MORTGAGE TRUST                                                       | ROC Securities Trust Series 2021-RLT1, Class A2                         | CUSIP: 77118TAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1324087.80   | 0.22%             | 2026-08-25      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association FNMA Strip                        | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946430 | PA      | $159961.13    | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 0.5%, Due 10/31/2027                                | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5250000 | PA      | $4440556.63   | 0.75%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DIAMOND RESORTS OWNER TRUST                                              | Diamond Resorts Owner Trust Series 2021-1A, Class C                     | CUSIP: 25273CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237572 | PA      | $216371.13    | 0.04%             | 2033-11-21      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| New York Life Global Funding                                             | New York Life Global Funding 2.35%, Due 07/14/2026                      | CUSIP: 64952WCH4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46000.77     | 0.01%             | 2026-07-14      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group 3.8% DUE 03/15/2030                                 | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $449487.27    | 0.08%             | 2030-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| LIBERTY LENDING ABS TRUST 2021-1                                         | Liberty Lending Services Series 21-1A Class B                           | CUSIP: 53934QAB8<br>LEI: 5967007LIEEXZXK7FS45 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1368154.20   | 0.23%             | 2029-05-15      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN LTD                                                   | Loanpal Solar Loan Ltd. Series 2021-2GS, Class A                        | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    763391 | PA      | $558248.61    | 0.09%             | 2048-03-20      | Fixed         | 2.22%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 3102 Class TA             | CUSIP: 31396H6P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    198829 | PA      | $195111.59    | 0.03%             | 2036-01-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Company 1.045%, Due 11/19/2026                         | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    500000 | PA      | $441018.15    | 0.07%             | 2026-11-19      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2017-77 Class HZ           | CUSIP: 3136AYFY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    983350 | PA      | $883221.83    | 0.15%             | 2047-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | MultiFamily Structured Credit Series 22-MN4, Class M1                   | CUSIP: 35563HAA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   1987780 | PA      | $1967902.25   | 0.33%             | 2052-05-25      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4180 Class ZB             | CUSIP: 3137B15N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    168240 | PA      | $122774.28    | 0.02%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-11B, Class QI         | CUSIP: 3136B1FL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2298626 | PA      | $368666.69    | 0.06%             | 2048-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4114 Class IM             | CUSIP: 3137AURH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    419533 | PA      | $10242.31     | 0.00%             | 2031-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Spirit Realty LP                                                         | Spirit Realty, L.P. 4.45%, Due 09/15/2026                               | CUSIP: 84861TAC2<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95491.19     | 0.02%             | 2026-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2019-20 Class JK        | CUSIP: 38381RAD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    163431 | PA      | $153855.70    | 0.03%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2022-84, Class AL       | CUSIP: 38383RT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2812353 | PA      | $2342912.22   | 0.40%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 4736 Class CL             | CUSIP: 3137FCHG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    441240 | PA      | $367287.96    | 0.06%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5039, Class JL            | CUSIP: 3137F63U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1457547 | PA      | $1109121.33   | 0.19%             | 2050-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5189, Class ZP            | CUSIP: 3137H5VS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    984677 | PA      | $760480.95    | 0.13%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp                                              | American Water Capital Corporation 2.8%, DUE 05/01/2030                 | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    300000 | PA      | $259390.39    | 0.04%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Funding 3.218%, Due 03/28/2025                   | CUSIP: 74368CBL7<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    285000 | PA      | $271575.57    | 0.05%             | 2025-03-28      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2022-HB1                                  | Finance of America HECM Buyout Series 22-HB1 Class M3                   | CUSIP: 31735JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1534406.12   | 0.26%             | 2025-11-25      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2012-128, Class WS         | CUSIP: 3136A9VE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    980829 | PA      | $623489.23    | 0.11%             | 2042-11-24      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC FINANCE ISSUANCE TRUST 2020-A                                   | Republic Finance Series 2020-A. Class B                                 | CUSIP: 76042EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1185000 | PA      | $1084299.65   | 0.18%             | 2030-11-20      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5202, Class DZ            | CUSIP: 3137H5ZZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2554429 | PA      | $1579207.76   | 0.27%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALPHAFLOW TRANSITIONAL MORTGAGE TRUST 2021-WL1                           | AlphaFlow Transitional Mortgage Company Series 21-WL1 Class A2          | CUSIP: 02079YAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    433540 | PA      | $414921.13    | 0.07%             | 2025-03-25      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust 2021-View                                                       | BX Trust Series 2021-VIEW, Class B                                      | CUSIP: 05606GAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1078276.00   | 0.18%             | 2036-06-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank of America Corp. 2.015%, Due 02/13/2026                            | CUSIP: 06051GHY8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    400000 | PA      | $371288.00    | 0.06%             | 2026-02-13      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Lincoln National Corporation                                             | Lincoln National Corporation 3.625%, Due 12/12/2026                     | CUSIP: 534187BF5<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93672.91     | 0.02%             | 2026-12-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN AL5850                    | CUSIP: 3138ENQC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217917 | PA      | $210049.40    | 0.04%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                               | Progress Residential Trust Series 21-SFR1 Class B                       | CUSIP: 74331FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $2901796.30   | 0.49%             | 2038-04-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2021-1 LTD                                          | Toorak Mortgage Corporation Series 2021-1 Class A-1                     | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510000 | PA      | $482303.74    | 0.08%             | 2024-06-25      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST                                    | Upstart Structured Pass-Through Trust Series 2022-2A, Class A           | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1367805 | PA      | $1309523.16   | 0.22%             | 2046-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 1.25%, Due 09/30/2028                               | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $6870624.96   | 1.17%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase & Co.                                                     | JP Morgan Chase & Company 3.509%, Due 1/23/2019                         | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    425000 | PA      | $385700.70    | 0.07%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 2021-MN2, Class M1        | CUSIP: 35563JAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   2332154 | PA      | $2121895.27   | 0.36%             | 2041-07-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING LLC                                     | ReadyCap Commerical Mortgage Series 2021-FL6, Class E                   | CUSIP: 75575TAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $906985.00    | 0.15%             | 2036-07-25      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Mondelez International Holdings Netherlands BV                           | Mondelez International Holdings 1.25%, Due 09/24/2026                   | CUSIP: 60920LAR5<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | US        |    300000 | PA      | $260736.13    | 0.04%             | 2026-09-24      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Phillips 66 Co.                                                          | Phillips 66 2.45%, Due 12/15/2024                                       | CUSIP: 718547AA0<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93926.89     | 0.02%             | 2024-12-15      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT TRUST                                              | American Homes 4 Rent Series 2014-SFR3 Class E                          | CUSIP: 02665XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $295990.47    | 0.05%             | 2036-12-18      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                   | Diamondback Energy, Inc. 6.25%, Due 03/15/2053                          | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    500000 | PA      | $483177.95    | 0.08%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-EBO1 LLC                                                       | Cascade Funding Mortgage Trust Series 2021-EBO1, Class M3               | CUSIP: 12530AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $616458.50    | 0.10%             | 2050-11-25      | Floating      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                    | Lowe's Companies, Inc. 5.50%, Due 10/15/2035                            | CUSIP: 548661CJ4<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    600000 | PA      | $594737.81    | 0.10%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fremf Mtg Tr 2016-Kf17                                                   | Freedom Mortgage Trust Series 16-KF17 Class B                           | CUSIP: 30294WAC5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    208294 | PA      | $208068.23    | 0.04%             | 2023-03-25      | Floating      | 9.98%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2021-73 Class ZD           | CUSIP: 3136BJE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1415419 | PA      | $685083.02    | 0.12%             | 2051-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association IO SERIES 2017-004 CLASS WI    | CUSIP: 38380CUH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    838975 | PA      | $67486.24     | 0.01%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 0.529%, Due 01/25/2024                                   | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $496646.21    | 0.08%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: —       |
| PPG Industries, Inc.                                                     | PPG Industries, Inc. 2.400%, Due 08/15/2024                             | CUSIP: 693506BQ9<br>LEI: 549300BKPEP01R3V6C59 | Long             | DBT              | CORP              | US        |    110000 | PA      | $105232.49    | 0.02%             | 2024-08-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| The Kroger Co.                                                           | Kroger Company 2.20%, Due 05/01/2030                                    | CUSIP: 501044DP3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    125000 | PA      | $101433.22    | 0.02%             | 2030-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                      | Realty Income Corp .75%, Due 03/15/2026                                 | CUSIP: 756109AZ7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    625000 | PA      | $543222.43    | 0.09%             | 2026-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group Inc.                                                    | WEC Energy Group Inc .8%, Due 03/15/2024                                | CUSIP: 92939UAF3<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    700000 | PA      | $663172.45    | 0.11%             | 2024-03-15      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc                                         | PNC Financial Services 2.60%, Due 07/23/2026                            | CUSIP: 693475AX3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    250000 | PA      | $231417.97    | 0.04%             | 2026-07-23      | Fixed         | 2.60%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 19-99 Class GP          | CUSIP: 38381XTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    517000 | PA      | $421756.09    | 0.07%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PNC Bank National Association Pittsburgh Pennsylvania                    | PNC Bank National Association 2.70%, Due 10/22/2029                     | CUSIP: 69349LAS7<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |    250000 | PA      | $210950.27    | 0.04%             | 2029-10-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Lennox International Inc.                                                | Lennox International, Inc. 3.00%, Due 11/15/2023                        | CUSIP: 526107AD9<br>LEI: S7DWAC87RDMPBF77GJ92 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98216.30     | 0.02%             | 2023-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST                                                | RMF Buyout Issuance Trust Series 2020-HB1, Class A1                     | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2228578 | PA      | $2083720.62   | 0.35%             | 2050-10-25      | Floating      | 1.72%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Serues 4214 Class CI             | CUSIP: 3137B2L99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    326414 | PA      | $8684.03      | 0.00%             | 2031-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association 4.0%, Due 12/25/2028              | CUSIP: 31397Q4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    120000 | PA      | $115433.60    | 0.02%             | 2028-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Funding 1.737%, Due 09/21/2030                   | CUSIP: 74368CAY0<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $837319.87    | 0.14%             | 2030-09-21      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: —       |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2013-82, Class NS       | CUSIP: 38378TDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1294967 | PA      | $787549.68    | 0.13%             | 2043-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loand Mortgage Corporation Series 3759, Class ME           | CUSIP: 3137A2TQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    499243 | PA      | $465967.07    | 0.08%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | CitiGroup Incorporated 5.61%, Due 09/29/2026                            | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    700000 | PA      | $702993.89    | 0.12%             | 2026-09-29      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                              | Verizon Communications Inc 1.75%, Due 01/20/2031                        | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    500000 | PA      | $387919.21    | 0.07%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2022-2                                          | Octana Receivables Trust Series 2022-2A, Class D                        | CUSIP: 67578XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1957354.60   | 0.33%             | 2030-09-20      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4165, Class ZT            | CUSIP: 3137AYTA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6697564 | PA      | $5336060.49   | 0.91%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | US Treasury Inflation-Protected Notes 0.500%, DUE 04/15/2024            | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5316570 | PA      | $5170009.39   | 0.88%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assocation Series 2014-79, Class HU        | CUSIP: 38379B3J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    443238 | PA      | $383983.40    | 0.07%             | 2040-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-038 Class MT          | CUSIP: 3136B5FW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    949309 | PA      | $822536.06    | 0.14%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rentas Fdo Inv Inm                                                       | Renew Financial, LLC Series 2017-1A Class A                             | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    293736 | PA      | $265589.79    | 0.05%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-34 Class GP           | CUSIP: 3136ADQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    335727 | PA      | $316999.80    | 0.05%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nucor Corporation                                                        | Nucor Corp 2% DUE 06/01/2025                                            | CUSIP: 670346AR6<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    250000 | PA      | $232659.25    | 0.04%             | 2025-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Association Series 3959, Class PZ            | CUSIP: 3137AHHE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3642263 | PA      | $3473288.24   | 0.59%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. TREASURY BONDS 2.25%, DUE 08/15/2046                               | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1780000 | PA      | $1259697.65   | 0.21%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                               | Progress Residential Trust Series 2020-SFR1, Class A                    | CUSIP: 74331CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3443807 | PA      | $3139775.77   | 0.53%             | 2037-04-17      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                    | Wells Fargo Mortgage Trust Series 21-SAVE Class D                       | CUSIP: 95003LAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    909022 | PA      | $802491.65    | 0.14%             | 2040-02-15      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-84, Class B           | CUSIP: 3136AF5L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $906628.20    | 0.15%             | 2043-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                  | UnitedHealth Group, Inc. 5.35%, Due 02/15/2033                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    250000 | PA      | $257921.95    | 0.04%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                                  | Bank Of NY Mellon Corporation 2.05%, Due 01/26/2027                     | CUSIP: 06406RBA4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    650000 | PA      | $583655.46    | 0.10%             | 2027-01-26      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 2.699%, Due 01/22/2031                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $144610.67    | 0.02%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ERP Operating Limited Partnership                                        | ERP Operating, L.P. 2.50%, Due 02/15/2030                               | CUSIP: 26884ABM4<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |    150000 | PA      | $125120.15    | 0.02%             | 2030-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup Inc. Floating Rate Note, Due 07/01/2026                       | CUSIP: 172967MB4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99575.26     | 0.02%             | 2026-07-01      | Floating      | 4.99%                 | No            |                  2 | On Loan: —       |
| AbbVie Inc.                                                              | Abbvie Inc. 3.60%, Due 05/14/2025                                       | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    500000 | PA      | $484573.50    | 0.08%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST                         | Continental Credit Card LLC Series 2021-A, Class C                      | CUSIP: 66981PAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $446436.90    | 0.08%             | 2029-12-17      | Fixed         | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Honda Motor Co Ltd.                                                      | Honda Motor Company 2.534%, Due 03/10/2027                              | CUSIP: 438127AB8<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182723.58    | 0.03%             | 2027-03-10      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2013-147 Class SD       | CUSIP: 38378UPW1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1355000 | PA      | $136938.88    | 0.02%             | 2039-12-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                               | Government National Mortgage Assoication Series 2018-006, Class JY      | CUSIP: 38380U5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    284000 | PA      | $245590.96    | 0.04%             | 2048-01-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Cboe Global Markets Inc                                                  | Cboe Global Markets, Inc. 3.65%, Due 01/12/2027                         | CUSIP: 12503MAA6<br>LEI: 529900RLNSGA90UPEH54 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95458.06     | 0.02%             | 2027-01-12      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2015-179 Class ZB       | CUSIP: 38379TBD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     58712 | PA      | $46292.54     | 0.01%             | 2045-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association 5.50%, Due 11/15/2038          | CUSIP: 3622A2XG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316879 | PA      | $333604.62    | 0.06%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Massmutual Global Funding II                                             | MassMutual Glocal Funding 4.15%, Due 08/26/2025                         | CUSIP: 57629WDK3<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $489103.52    | 0.08%             | 2025-08-26      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assoication Series 19-98 Class BI          | CUSIP: 38381YBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    847484 | PA      | $227341.57    | 0.04%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2004-17 Class BA           | CUSIP: 31393XA49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    244941 | PA      | $252008.93    | 0.04%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB8 LLC                                                        | Cascade Funding Mortgage Trust Series 22-HB8 Class M3                   | CUSIP: 12526WAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1222500.00   | 0.21%             | 2025-04-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| New York Life Global Funding                                             | New York Life Global Funding 2.900%, Due 01/17/2024                     | CUSIP: 64952WCN1<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97791.49     | 0.02%             | 2024-01-17      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 2021-MN3, Class M1        | CUSIP: 35563GAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |   2119319 | PA      | $1996044.02   | 0.34%             | 2051-11-25      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Pool #G06085                     | CUSIP: 3128M8CW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47288 | PA      | $49986.62     | 0.01%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORA FINANCIAL ASSET SECURITIZATION 2021 LLC                             | FORA Financial Asset Securitization Series 2021-1A, Class C             | CUSIP: 34513GAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    418000 | PA      | $380054.17    | 0.06%             | 2027-05-15      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BL4548                       | CUSIP: 3140HWBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187262 | PA      | $166574.59    | 0.03%             | 2029-10-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp                                              | American Water Capital Corp. 2.3%, Due 06/01/2031                       | CUSIP: 03040WAY1<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    825000 | PA      | $676653.37    | 0.11%             | 2031-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| First Horizon Bank                                                       | FIRST TENNESSEE BANK 5.75%, DUE 05/01/2030                              | CUSIP: 337158AJ8<br>LEI: COOWI3L2W9TPYR3WJX37 | Long             | DBT              | CORP              | US        |    250000 | PA      | $242350.68    | 0.04%             | 2030-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONEMAIN DIRECT AUTO RECEIVABLES TRUST                                    | OneMain Direct Auto Receivables Series 2019-1, Class D                  | CUSIP: 68267EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    675000 | PA      | $606447.47    | 0.10%             | 2031-04-14      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-42, Class BY          | CUSIP: 3136B95Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    935000 | PA      | $538244.25    | 0.09%             | 2050-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| The Sherwin-Williams Company                                             | Sherwin Williams Company 3.30%, Due 02/01/2025                          | CUSIP: 824348BD7<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    350000 | PA      | $337301.20    | 0.06%             | 2025-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Spirit Realty LP                                                         | Spirit Realty LP 4.00%, Due 07/15/2029                                  | CUSIP: 84861TAD0<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $52073.74     | 0.01%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HP Inc                                                                   | HP Inc 4.20%, Due 04/15/2032                                            | CUSIP: 40434LAL9<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    400000 | PA      | $343915.35    | 0.06%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                                                | Toyota Motor Credit Corporation 4.45%, Due 06/29/2029                   | CUSIP: 89236TKD6<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293719.36    | 0.05%             | 2029-06-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: —       |
| Equitable Financial Life Global Funding                                  | Equitable Financial Life 1.80%, Due 03/08/2028                          | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    609000 | PA      | $506574.85    | 0.09%             | 2028-03-08      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Ross Stores Inc                                                          | Ross Stores Inc 1.875%, Due 04/15/2031                                  | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    400000 | PA      | $313944.74    | 0.05%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Association Pool FG G14973                   | CUSIP: 3128MDXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94156 | PA      | $92832.56     | 0.02%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                            | Intercontinental Exhange Incorporated 4.95%, Due 06/15/2052             | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    875000 | PA      | $810693.63    | 0.14%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Pool# 2646                       | CUSIP: 31393W2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    131741 | PA      | $131958.42    | 0.02%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2016-H20 Class GI       | CUSIP: 38376RYT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    928397 | PA      | $2338.35      | 0.00%             | 2066-08-20      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC                                            | College Avenue Student Loans Series 2019-A Class C                      | CUSIP: 19421UAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181380 | PA      | $168778.55    | 0.03%             | 2048-12-28      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2021-HB1                                       | RMF Buyout Issuance Trust Series 2021-HB1, Class M3                     | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1356250.00   | 0.23%             | 2031-11-25      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4857 Class H              | CUSIP: 3137FKR32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    227635 | PA      | $222997.28    | 0.04%             | 2046-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                               | Mercury Financial Corp Series 2021-1 Class A                            | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3285000 | PA      | $3134071.00   | 0.53%             | 2026-03-23      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AL3200                       | CUSIP: 3138EKRW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264108 | PA      | $250536.10    | 0.04%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc.                                                              | Zoetis Inc. 5.60%, Due 11/16/2032                                       | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    425000 | PA      | $440566.25    | 0.07%             | 2032-11-16      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Pricoa Global Funding I                                                  | Prioca Global Funding 3.45%, Due 09/01/2023                             | CUSIP: 741531FA0<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158212.66    | 0.03%             | 2023-09-01      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Manufacturers & Traders Trust Co.                                        | M&T Bank Trust Company 5.4%, Due 11/21/2025                             | CUSIP: 55279HAT7<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |    600000 | PA      | $603146.40    | 0.10%             | 2025-11-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING LLC                                           | A10 Securitization Series 2020-C Class B                                | CUSIP: 66981EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179396 | PA      | $175816.16    | 0.03%             | 2040-08-15      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Gold Key Resorts Llc 2014-A                                              | Gold Key Resorts, LLC Series 2014-A Class A                             | CUSIP: 38061LAA7<br>LEI: 549300MORAF4RGEXUA95 | Long             | ABS-O            | CORP              | US        |      8441 | PA      | $8295.53      | 0.00%             | 2031-03-17      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group, Inc. 3.50%, Due 11/16/2026                         | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    350000 | PA      | $328083.99    | 0.06%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sofi Professional Loan Program 2017-B                                    | Social Professional Loan Program Series 2017-B Class CFX                | CUSIP: 83403YAD6<br>LEI: 549300THMTEP636GV478 | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $801117.09    | 0.14%             | 2040-05-25      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 411 Class A3               | CUSIP: 31395QCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88816 | PA      | $79766.41     | 0.01%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Sherwin-Williams Company                                             | Sherwin - Williams Company 2.30%, Due 05/15/2030                        | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    250000 | PA      | $205524.47    | 0.03%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: —       |
| CFMT 2021-GRN1 ISSUER TRUST                                              | Cascade Funding Mortgage Trust Series 2021-GRN1, Class B                | CUSIP: 12529KAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $835164.80    | 0.14%             | 2041-03-20      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp Series 5159 Class WZ                    | CUSIP: 3137H3UW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    657143 | PA      | $379800.48    | 0.06%             | 2050-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Midamerican Energy Company                                               | MidAmerican Energy Company 3.65%, Due 04/15/2029                        | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    350000 | PA      | $327237.32    | 0.06%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST                         | Continental Credit Card LLC Series 20-1A Class A                        | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1269621.68   | 0.22%             | 2028-12-15      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| ANTLER MORTGAGE TRUST                                                    | Antler Mortgage Trust Series 2021-RTL1, Class M                         | CUSIP: 00201QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1515512.08   | 0.26%             | 2025-05-25      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Hero Fdg Tr 2016-2                                                       | Hero Funding Trust Series 2016-2A Class A                               | CUSIP: 42770WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91439 | PA      | $89300.50     | 0.02%             | 2041-09-20      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass Through Trust 2020-1A                               | United Airlines 5.875%, Due 10/15/2027                                  | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237115 | PA      | $233782.58    | 0.04%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                                                  | REPUBLIC SERVICES, INC. 2.5%, Due 08/15/2024                            | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191657.47    | 0.03%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                    | WELLS FARGO & CO 2.393%, DUE 06/02/2028                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    650000 | PA      | $573682.70    | 0.10%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International PLC / Tyco Fire & Security Finance S.C.A. | Johnson Controls International 2.00%, Due 09/16/2031                    | CUSIP: 47837RAD2<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | US        |    500000 | PA      | $394672.76    | 0.07%             | 2031-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                     | Royal Bank of Canada 1.15%, Due 07/15/2026                              | CUSIP: 78016EZT7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176104.04    | 0.03%             | 2026-07-14      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Walgreens Boots Alliance, Inc.                                           | Walgreens Boots Alliance 3.2%, Due 04/15/2030                           | CUSIP: 931427AS7<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |    250000 | PA      | $216345.99    | 0.04%             | 2030-04-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2015-161, Class AV      | CUSIP: 38379FUL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    320946 | PA      | $305804.96    | 0.05%             | 2029-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION Series 2016-32 Class MS        | CUSIP: 38379VV50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1431436 | PA      | $147568.87    | 0.03%             | 2046-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS 2021-A LLC                                     | College Ave Student Loans Series 21-A Class D                           | CUSIP: 19424KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $447703.20    | 0.08%             | 2051-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Marathon Petroleum Company                                               | Marathon Petroleum Corporation 5.0%, Due 09/15/2054                     | CUSIP: 56585AAJ1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $625860.02    | 0.11%             | 2054-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-35 Class CV           | CUSIP: 3136ADSQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    350000 | PA      | $312822.93    | 0.05%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM TRUST                                     | Social Professional Loan Program Series 2020-A Class BFX                | CUSIP: 83406TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $329550.14    | 0.06%             | 2046-05-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING LLC                                           | A10 Securitization Series 2020-C Class E                                | CUSIP: 66981EAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $234703.00    | 0.04%             | 2040-08-15      | Fixed         | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications Inc.                                              | Verizon Communications, Inc. 4.50%, Due 08/10/2033                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    550000 | PA      | $514627.44    | 0.09%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AREIT 2021-CRE5 LTD                                                      | Areit CRE Trust Series 2021-CRE5, Class A                               | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    713325 | PA      | $681885.66    | 0.12%             | 2038-11-17      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank of America Corporation Floater, Due 04/29/2031                     | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    450000 | PA      | $366496.16    | 0.06%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                                             | Bristol- Myers Squibb Company 2.95%, Due 03/15/2032                     | CUSIP: 110122DU9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    300000 | PA      | $260991.21    | 0.04%             | 2032-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| COLD STORAGE TRUST                                                       | Cold Storage Trust Series 2020-ICE5 Class E                             | CUSIP: 193051AQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    491495 | PA      | $471135.08    | 0.08%             | 2037-11-16      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4116 Class LI             | CUSIP: 3137AVMA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1120855 | PA      | $131948.97    | 0.02%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DIAMOND RESORTS OWNER TRUST                                              | Diamond Resorts Owner Trust Series 2021-1A, Class B                     | CUSIP: 25273CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312595 | PA      | $283483.80    | 0.05%             | 2033-11-21      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Mondelez International, Inc.                                             | Mondelez International Incorporated 3%, Due 03/17/2032                  | CUSIP: 609207BB0<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $256615.14    | 0.04%             | 2032-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2019-052 Class HL       | CUSIP: 38381VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    490565 | PA      | $432708.89    | 0.07%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                                      | BHMS Mortgage Trust SERIES 2018-ATLS CLASS A                            | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1840991 | PA      | $1767478.39   | 0.30%             | 2035-07-16      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 3919 Class QS             | CUSIP: 3137AFRK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1260395 | PA      | $67023.27     | 0.01%             | 2030-08-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                 | American Express Company 3.95%, Due 08/01/2025                          | CUSIP: 025816CY3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    525000 | PA      | $514309.99    | 0.09%             | 2025-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                            | Netflix Inc 6.375% Due 05/15/2029                                       | CUSIP: 64110LAX4<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    350000 | PA      | $360250.59    | 0.06%             | 2029-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                           | Credit Suisse First Boston Series 2018-SITE, Class D                    | CUSIP: 12690CAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $216546.23    | 0.04%             | 2036-04-17      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Fox Corporation                                                          | Twenty-First Century Fox Inc 4.030%, Due 01/25/2024                     | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49420.16     | 0.01%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2019-120 Class DI       | CUSIP: 38381YST2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1634475 | PA      | $263150.93    | 0.04%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2004-56 Class Z            | CUSIP: 31393Y5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     97437 | PA      | $104603.58    | 0.02%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| The Progressive Corporation                                              | Progressive Corp. 3.2%, Due 03/26/2030                                  | CUSIP: 743315AW3<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    240000 | PA      | $215346.50    | 0.04%             | 2030-03-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5129, Class DM            | CUSIP: 3137H1NR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1525689 | PA      | $1158878.81   | 0.20%             | 2050-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Helmerich & Payne Inc                                                    | Helmerich & Payne, Inc. 2.90%, Due 09/29/2031                           | CUSIP: 423452AG6<br>LEI: 254900NAOGHJ88RZ4C73 | Long             | DBT              | CORP              | US        |    650000 | PA      | $527555.93    | 0.09%             | 2031-09-29      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING XIV LLC                                                  | Opportunity Funding LLC Sereis 2024-A Class B                           | CUSIP: 68377BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1540000 | PA      | $1426301.49   | 0.24%             | 2028-03-08      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group Inc 4.223% DUE 05/01/2029                           | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    650000 | PA      | $605551.66    | 0.10%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana, LLC.                                                | Duke Energy Indinana, LLC 2.75%, Due 04/01/2050                         | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    370000 | PA      | $232285.46    | 0.04%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PFP LTD                                                                  | PFP III Series 21-7 Class A-S                                           | CUSIP: 69290LAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1499925 | PA      | $1412266.52   | 0.24%             | 2038-04-16      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2006-96 Class MO           | CUSIP: 31396LCF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     30132 | PA      | $26358.76     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                        | MF1 Multifamily Housing Mortgages Series 22-FL10 Class C                | CUSIP: 55285BAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1481133.00   | 0.25%             | 2037-09-07      | Floating      | 8.80%                 | Yes           |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U. S. Treasury Strips 0.000%, Due 08/15/2033                            | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $2595409.00   | 0.44%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST                                                   | Cascade Funding Mortgage Trust Series 2019-MH1 Class M                  | CUSIP: 14732FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $92269.68     | 0.02%             | 2044-11-25      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST                             | Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A    | CUSIP: 04047AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    983159 | PA      | $950120.19    | 0.16%             | 2027-01-15      | Fixed         | 1.19%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                           | MORGAN STANLEY 3.875%, DUE 01/27/26                                     | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $484009.86    | 0.08%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Daimler Finance North America LLC                                        | Daimler Finance, LLC 1.75%, Due 03/10/2023                              | CUSIP: 233851DY7<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    275000 | PA      | $273358.09    | 0.05%             | 2023-03-10      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST 2022-RM3                             | Brean Asset Backed Securities Series 22-RM3 Class A                     | CUSIP: 10638NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1479081 | PA      | $1289716.96   | 0.22%             | 2062-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4169, Class SA            | CUSIP: 3137B03R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    483339 | PA      | $380611.45    | 0.06%             | 2033-02-15      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2013-H13 Class T1       | CUSIP: 38375B2M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1288794 | PA      | $6621.43      | 0.00%             | 2063-05-20      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| Alaska Airlines Pass Through Trust 2020-1A                               | ALASKA AIRLINES 4.8%, DUE 02/15/2029                                    | CUSIP: 01166VAA7<br>LEI: PG4W4UTDTMMEBRGLO537 | Long             | ABS-O            | CORP              | US        |    126484 | PA      | $120383.45    | 0.02%             | 2027-08-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 16-28, Class DI            | CUSIP: 3136AR2U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    609117 | PA      | $64660.00     | 0.01%             | 2035-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kirby Corp                                                               | Kirby Corporation 4.20%, Due 03/01/2028                                 | CUSIP: 497266AC0<br>LEI: I7NO6FZO5GUCG585T325 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90633.88     | 0.02%             | 2028-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-66, Class PZ          | CUSIP: 3136B25U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    569917 | PA      | $466690.56    | 0.08%             | 2048-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4116, Class YC            | CUSIP: 3137AVPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1208000 | PA      | $930581.71    | 0.16%             | 2042-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                 | BX Trust Series 18-EXCL Class C                                         | CUSIP: 12433WAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238540 | PA      | $231808.63    | 0.04%             | 2037-09-15      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                                  | KeyCorp 2.55%, DUE 10/01/2029                                           | CUSIP: 49326EEJ8<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    385000 | PA      | $324295.51    | 0.06%             | 2029-10-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2011-14 Class PB           | CUSIP: 31397SBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    485582 | PA      | $484594.63    | 0.08%             | 2041-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-2 TRUST                                    | Home Partners of America Trust Series 2021-2, Class D                   | CUSIP: 43732VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    972229 | PA      | $804049.90    | 0.14%             | 2026-12-17      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2009-103 Class MB          | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    102429 | PA      | $102764.90    | 0.02%             | 2039-12-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL FINANCE CREDIT CARD ABS MASTER TRUST                         | Continental Credit Card LLC Series 22-A Class C                         | CUSIP: 66981PAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2262666.63   | 0.38%             | 2030-10-15      | Fixed         | 9.33%                 | Yes           |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                    | Alexandria Real Estate Equities, Inc. 3.95%, Due 01/15/2028             | CUSIP: 015271AK5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93879.28     | 0.02%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CIG AUTO RECEIVABLES TRUST                                               | CIG AUTO RECEIVABLES TRUST Series 20-1A Class D                         | CUSIP: 12597UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $293490.57    | 0.05%             | 2026-01-12      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | CITIGROUP, INC. 3.887%, DUE 01/10/2028                                  | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    900000 | PA      | $841021.09    | 0.14%             | 2028-01-10      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Discover Financial Services                                              | Discover Financial Services 4.10%, Due 02/09/2027                       | CUSIP: 254709AM0<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94099.48     | 0.02%             | 2027-02-09      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury STRIPS 0.000%, Due 02/15/2033                             | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1322179.36   | 0.22%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                                    | RMF Proprietary Issuance Trust Series 2022-1, Class M1                  | CUSIP: 74969XAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $779274.60    | 0.13%             | 2062-01-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR2 TRUST                                           | Firstkey Homes Trust Series 2022-SFR2 Class D                           | CUSIP: 33767PAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1095262.75   | 0.19%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bancshares Incorporated                                       | Huntington Bancshares 5.023%, Due 05/17/2033                            | CUSIP: 446150BA1<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    400000 | PA      | $379767.86    | 0.06%             | 2033-05-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: —       |
| Walmart Inc                                                              | Walmart Incorporated 4.15%, Due 09/09/2032                              | CUSIP: 931142EY5<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    400000 | PA      | $389657.62    | 0.07%             | 2032-09-09      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| MARINER FINANCE ISSUANCE TRUST                                           | Mariner Finance Issuance Trust Series 2021-AA                           | CUSIP: 56848DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $789793.90    | 0.13%             | 2036-03-20      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR5 TRUST                                     | Progress Residential Trust Series 2022-SFR5, Class D                    | CUSIP: 74332YAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $732011.20    | 0.12%             | 2039-06-17      | Fixed         | 5.73%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                             | BX Commercial Mortgage Trust Series 2020-VIV3 Class B                   | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1046216.99   | 0.18%             | 2044-03-09      | Floating      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2016-H11 Class FD       | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    235222 | PA      | $231521.03    | 0.04%             | 2066-05-20      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                               | Tennessee Valley Authority 4.25%, Due 09/15/2052                        | CUSIP: 880591EY4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    500000 | PA      | $442342.63    | 0.08%             | 2052-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Ln Trust 2019-A                                | Laurel Road Prime Student Loan Series 2019-A Class A2FX                 | CUSIP: 51889RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57408 | PA      | $55776.76     | 0.01%             | 2048-10-25      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT TRUST                                              | American Homes 4 Rent Series 2014-SFR3 Class A                          | CUSIP: 02665XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318849 | PA      | $306951.22    | 0.05%             | 2036-12-17      | Fixed         | 3.68%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN MA2778                    | CUSIP: 31418CCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89666 | PA      | $81045.83     | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                      | Comcast Corporation 5.35%, Due 11/15/2027                               | CUSIP: 20030NEA5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    450000 | PA      | $459575.34    | 0.08%             | 2027-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury STRIPS 0.000%, Due 02/15/2037                             | CUSIP: 9128337F1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $3618348.50   | 0.61%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4710, Class GZ            | CUSIP: 3137FA5D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4341123 | PA      | $3495089.19   | 0.59%             | 2047-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                  | Exxon Mobil Corporation 2.992%, Due 03/19/2025                          | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    240000 | PA      | $231169.36    | 0.04%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5223, Class MZ            | CUSIP: 3137H7HZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3310665 | PA      | $2928077.93   | 0.50%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 16-37, Class YA         | CUSIP: 38379VYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1052846 | PA      | $925890.00    | 0.16%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEWTEK SMALL BUSINESS LOAN TRUST                                         | Newtek Small Business Loan Trust Series 19-1 Class A                    | CUSIP: 65252XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475678 | PA      | $471909.19    | 0.08%             | 2044-12-25      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank of America Corporation 6.204%, Due 11/10/2028                      | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    250000 | PA      | $258117.93    | 0.04%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                     | Freedom Mortgage Trust Series 17-KF39 Class B                           | CUSIP: 35708UAC8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    330814 | PA      | $325366.56    | 0.06%             | 2024-11-25      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Public Service Electric and Gas Company                                  | Public Service Electric 2.25%, Due 09/15/2026                           | CUSIP: 74456QBR6<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90815.62     | 0.02%             | 2026-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST 2022-RM4                             | Brean Asset Backed Securities Series 2022-RM4, Class AZ                 | CUSIP: 10638JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $1710805.53   | 0.29%             | 2062-07-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2013-113 Class QS       | CUSIP: 38378WNC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    240421 | PA      | $12371.10     | 0.00%             | 2042-02-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                    | Wells Fargo and Company 3.35%, Due 03/02/2033                           | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    250000 | PA      | $210599.45    | 0.04%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2005-13 Class BG        | CUSIP: 38374KUK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    186165 | PA      | $186862.37    | 0.03%             | 2035-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Northern States Power Company                                            | Northern Stars Power Company 2.25%, Due 04/01/2031                      | CUSIP: 665772CT4<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    500000 | PA      | $415136.23    | 0.07%             | 2031-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool #AS4073                      | CUSIP: 3138WDQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181637 | PA      | $173977.18    | 0.03%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING XIII LLC                                                 | Oportun Funding XIII LLC Series 2019-13 Class B                         | CUSIP: 68377FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361229 | PA      | $348358.92    | 0.06%             | 2025-08-08      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 0.875%, Due 11/15/2030                              | CUSIP: 91282CAV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $799296.88    | 0.14%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: —       |
| Apple Inc.                                                               | Apple, Inc. 1.65%, due 05/11/2030                                       | CUSIP: 037833DU1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    300000 | PA      | $245023.42    | 0.04%             | 2030-05-11      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 1.625%, Due 02/15/2026                              | CUSIP: 912828P46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4624218.75   | 0.79%             | 2026-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                          | Phillips 66 3.55%, Due 10/01/2026                                       | CUSIP: 718547AE2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93791.95     | 0.02%             | 2026-10-01      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank of America Corporation 3.419%, due 12/20/2028                      | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    750000 | PA      | $679203.18    | 0.12%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corporation                                        | Capital One Financial Company 1.878%, Due 11/02/2027                    | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $870893.93    | 0.15%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                      | Realty Income Corporation 3.875%, Due 04/15/2025                        | CUSIP: 756109AV6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97970.42     | 0.02%             | 2025-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BMW US Capital, LLC                                                      | BMW US Cap, LLC 3.90%, Due 04/09/2025                                   | CUSIP: 05565EBK0<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293516.60    | 0.05%             | 2025-04-09      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2014-2 Class PB            | CUSIP: 3136AJBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    536075 | PA      | $484522.36    | 0.08%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Life Storage LP                                                          | Life Storage, L.P. 3.875%, Due 12/15/2027                               | CUSIP: 53227JAA2<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92527.95     | 0.02%             | 2027-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2016-68, Class AL          | CUSIP: 3136ATQ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1240000 | PA      | $1100793.14   | 0.19%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. Treasury Bonds 2.375%, Due 11/15/2049                              | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14850000 | PA      | $7991736.29   | 1.36%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                      | Fifth Third Bancorp 2.375%, Due 01/28/2025                              | CUSIP: 316773CY4<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    275000 | PA      | $260750.92    | 0.04%             | 2025-01-28      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool FN AM9491                    | CUSIP: 3138LARM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167010 | PA      | $156302.63    | 0.03%             | 2030-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Pnmac Gsmr Issuer Trust                                                  | PNMAC GMSR Issuer Trust Series 2022-CRE7, Class C                       | CUSIP: 69354WAF3<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1417750.05   | 0.24%             | 2027-05-25      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| GENESIS SALES FINANCE MASTER TRUST                                       | Genesis Sales Finance Master Series 22-A Class C                        | CUSIP: 37186XAT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1498133.25   | 0.25%             | 2027-09-20      | Fixed         | 9.53%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5173, Class BZ            | CUSIP: 3137H4CS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1027424 | PA      | $589238.00    | 0.10%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 08-51 Class PH          | CUSIP: 38375QX95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     90666 | PA      | $90415.88     | 0.02%             | 2038-06-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                               | Mercury Financial Corp Series 2022-1 Class B                            | CUSIP: 58940BAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $806125.32    | 0.14%             | 2026-09-21      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2020-3 LLC                                            | LoanPal Solar Loan LLC Series 2020-3, Class B                           | CUSIP: 53948NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    543482 | PA      | $407308.41    | 0.07%             | 2047-12-20      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| ONDECK ASSET SECURITIZATION TRUST II LLC                                 | OnDeck Asset Securitization Trust Series 21-1A Class B                  | CUSIP: 68236WAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $674684.10    | 0.11%             | 2027-05-17      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2019-01, Class MH          | CUSIP: 3136B3F62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    223288 | PA      | $201089.98    | 0.03%             | 2049-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | GNMA SERIES 2018-139 CLASS DV                                           | CUSIP: 38381ALQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    404301 | PA      | $390299.41    | 0.07%             | 2030-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST SERIES 2022-BPL1                                         | New York Mortgage Trust Series 2022-BPL1, Class A2                      | CUSIP: 62955TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1107783.60   | 0.19%             | 2027-11-25      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 1.794%, Due 02/13/2032                                   | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $751560.34    | 0.13%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc.                                                              | Zoetis Inc. 2.0%, Due 05/15/2030                                        | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    525000 | PA      | $426055.33    | 0.07%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ameriprise Financial, Inc.                                               | Ameriprise Financial, Inc. 3.0%, Due 04/02/2025                         | CUSIP: 03076CAK2<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |    250000 | PA      | $239464.48    | 0.04%             | 2025-04-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4333 Class GL             | CUSIP: 3137B9YV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    250000 | PA      | $216766.10    | 0.04%             | 2044-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US Airways Group Inc.                                                    | U.S. Airways Pass-Through Trust Series 2011 Class 1A                    | CUSIP: 903436AA1<br>LEI: 5493004XNBKB5SFUJI60 | Long             | ABS-O            | CORP              | US        |     24045 | PA      | $24162.70     | 0.00%             | 2025-04-22      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2022-2                      | Arivo Acceptance Auto Loan Receivables Trust Series 2022-2A, Class C    | CUSIP: 04047JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1215280.44   | 0.21%             | 2029-03-15      | Fixed         | 8.71%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Strip 378                         | CUSIP: 3136FEMZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575386 | PA      | $95603.23     | 0.02%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                             | BX Trust Series 2021-VINO, Class C                                      | CUSIP: 05608KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1470000 | PA      | $1390240.01   | 0.24%             | 2038-05-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp Series 4839 Class AL                    | CUSIP: 3137FJGW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2326401 | PA      | $2035726.73   | 0.35%             | 2051-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                    | Lowes Cos. Inc. 2.625%, Due 04/01/2031                                  | CUSIP: 548661EA1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    950000 | PA      | $787133.84    | 0.13%             | 2031-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST                                       | Regional Management Issuance Series 21-2 Class C                        | CUSIP: 75907UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $515124.03    | 0.09%             | 2033-08-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING LLC                                     | ReadyCap Commerical Mortgage Series 2021-FL6, Class D                   | CUSIP: 75575TAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $920629.00    | 0.16%             | 2036-07-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Amgen Inc.                                                               | Amgen, Inc. 4.20%, Due 03/01/2033                                       | CUSIP: 031162DJ6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    400000 | PA      | $370051.23    | 0.06%             | 2033-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING XIV LLC                                                  | Oportun Funding LLC Series 21-1A Class C                                | CUSIP: 68377BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1704098.09   | 0.29%             | 2028-03-08      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2020-183, Class AE      | CUSIP: 38382LSV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    598103 | PA      | $347926.14    | 0.06%             | 2050-12-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank of America Corporation 3.458%, Due 03/15/2025                      | CUSIP: 06051GHR3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    975000 | PA      | $949119.54    | 0.16%             | 2025-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                        | MF1 Multifamily Housing Series 2022-FL10, Class D                       | CUSIP: 55285BAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    750000 | PA      | $722470.50    | 0.12%             | 2037-09-17      | Floating      | 10.05%                | Yes           |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S Treasury STRIPS 0.000%, Due 05/15/2035                              | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $1798995.21   | 0.31%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FedEx Corporation                                                        | Fedex Corporation 2.40%, Due 05/15/2031                                 | CUSIP: 31428XCD6<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |    500000 | PA      | $404366.75    | 0.07%             | 2031-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: —       |
| New York Life Global Funding                                             | New York Life Global Funding 1.2%, Due 08/07/2030                       | CUSIP: 64952WDS9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $957566.36    | 0.16%             | 2030-08-07      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: —       |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                                    | RMF Proprietary Issuance Trust Series 2022-1, Class M2                  | CUSIP: 74969XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $697842.90    | 0.12%             | 2062-01-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| PECO Energy Company                                                      | PECO Energy Company 3.00%, due 09/15/2049                               | CUSIP: 693304AX5<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    200000 | PA      | $136500.03    | 0.02%             | 2049-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Massmutual Global Funding II                                             | Massmutual Global Funding 2.15%, Due 03/09/2031                         | CUSIP: 57629WCZ1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $397522.80    | 0.07%             | 2031-03-09      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. TREASURY INFLATION-PROTECTED NOTES 0.625%, DUE 02/15/2043          | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2592080 | PA      | $2089695.21   | 0.35%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Principal Life Global Funding II                                         | Principal Life Global Fund 1.25%, Due 06/23/2025                        | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    525000 | PA      | $477461.38    | 0.08%             | 2025-06-23      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                      | Oncor Electric Delivery Co. LLC 3.75%, Due 04/01/2045                   | CUSIP: 68233JBB9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    490000 | PA      | $393919.27    | 0.07%             | 2045-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2002-86 Class PG           | CUSIP: 31392FWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     45053 | PA      | $45651.26     | 0.01%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Corporation                                                 | State Street Corporation 4.164%, Due 08/04/2033                         | CUSIP: 857477BV4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92373.18     | 0.02%             | 2033-08-04      | Fixed         | 4.16%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 3740 Class FC             | CUSIP: 3137GAPS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     70058 | PA      | $68450.96     | 0.01%             | 2040-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2016-24 Class KI           | CUSIP: 3136ASED4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    372572 | PA      | $39404.88     | 0.01%             | 2035-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                              | Verizon Communications, Inc. Floating Rate Note, Due 05/15/2025         | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100793.04    | 0.02%             | 2025-05-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                      | Comcast Corporation 1.95%, Due 01/15/2031                               | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $828489.88    | 0.14%             | 2031-01-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: —       |
| ONDECK ASSET SECURITIZATION TRUST II LLC                                 | OnDeck Asset Securitization Trust Series 21-1A Class C                  | CUSIP: 68236WAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $577762.97    | 0.10%             | 2027-05-17      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U. S. Treasury Strips 0.000%, Due 08/15/2034                            | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $3714985.38   | 0.63%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ACRE COMMERCIAL MORTGAGE 2021-FL4 LTD                                    | Acre Mortgage Trust Series 21-FL4 Class D                               | CUSIP: 00489TAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $953519.00    | 0.16%             | 2037-12-15      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| American Electric Power Co, Inc.                                         | American Electric Power Inc. 1%, Due 11/01/2025                         | CUSIP: 025537AR2<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    500000 | PA      | $446546.87    | 0.08%             | 2025-11-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST                                                     | LHOME Mortgage Trust Series 2021-RTL1, Class M                          | CUSIP: 501894AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $653195.78    | 0.11%             | 2026-09-25      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM TRUST                                     | Social Professional Loan Program Series 2018-D Class BFX                | CUSIP: 83401AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $443159.00    | 0.08%             | 2048-02-25      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT TRUST                                              | AMER Homes 4 Rent Trust Series 2014-SFR2, Class E                       | CUSIP: 02665UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $292176.84    | 0.05%             | 2036-10-17      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Company Floating Rate, Due 02/01/2028                  | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93429.52     | 0.02%             | 2028-02-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                             | BX Trust Series 2021-VOLT, Class D                                      | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1403359.50   | 0.24%             | 2036-09-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 3.737%, Due 04/24/2024                                   | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99459.41     | 0.02%             | 2024-04-24      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                       | Met Life Global Financials 1.55%, Due 01/07/2031                        | CUSIP: 59217GGU7<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    900000 | PA      | $697952.35    | 0.12%             | 2031-01-07      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: —       |
| Ameren Corporation                                                       | Ameren Corporation 2.50%, Due 09/15/2024                                | CUSIP: 023608AH5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    130000 | PA      | $124340.44    | 0.02%             | 2024-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2022-A                                            | Opportunity Funding LLC Series 22-A Class C                             | CUSIP: 68378NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1366785.90   | 0.23%             | 2031-06-09      | Fixed         | 7.40%                 | Yes           |                  2 | On Loan: No      |
| College Ave Student Loans 2018-A LLC                                     | College Avenue Student Loans Series 2018-A Class C                      | CUSIP: 19423DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61927 | PA      | $58844.89     | 0.01%             | 2047-12-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5085, Class TY            | CUSIP: 3137FXRB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1263612 | PA      | $735241.36    | 0.12%             | 2051-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-22 Class AY           | CUSIP: 3136B9GY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1254000 | PA      | $776729.61    | 0.13%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool MA5738M                   | CUSIP: 36179ULT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193389 | PA      | $188040.27    | 0.03%             | 2034-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALPHAFLOW TRANSITIONAL MORTGAGE TRUST 2021-WL1                           | AlphaFlow Transitional Mortgage Company Series 21-WL1 Class A1          | CUSIP: 02079YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1864223 | PA      | $1774433.29   | 0.30%             | 2025-03-25      | Floating      | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 4.889%, Due 07/20/2033                                   | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $939521.30    | 0.16%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Assoication Series 2020-97, Class ML       | CUSIP: 38382GWF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1975000 | PA      | $1308997.61   | 0.22%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-58, Class NA       | CUSIP: 38382RGV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    618576 | PA      | $469630.98    | 0.08%             | 2050-07-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST 2022-RM5                             | Brean Asset Backed Securities Series 2022-RM5, Class M2                 | CUSIP: 10637WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2625431 | PA      | $1690422.82   | 0.29%             | 2062-09-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                     | FREMF Mortgage Trust Series 18-KF43 Class B                             | CUSIP: 30296DAG6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    236208 | PA      | $224499.63    | 0.04%             | 2028-01-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| The Charles Schwab Corporation                                           | Schwab Charles Corp .9%, Due 03/11/2026                                 | CUSIP: 808513BF1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    500000 | PA      | $443487.91    | 0.08%             | 2026-03-11      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                | Chase Mortgage Finance Corporation Series 21-CL1 Class M3               | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710448 | PA      | $592899.81    | 0.10%             | 2050-02-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 22-49 Class GZ             | CUSIP: 3136BNA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4636489 | PA      | $4022781.11   | 0.68%             | 2052-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST                                                   | Oportun Funding LLC Series 2021-C, Class A                              | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2260000 | PA      | $1977077.83   | 0.34%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                                     | Royal Bank of Canada 1.150%, Due 06/10/2025                             | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | US        |    365000 | PA      | $334095.99    | 0.06%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2016-38 Class ZP        | CUSIP: 38379VWQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     75963 | PA      | $57393.03     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5011, Class DB            | CUSIP: 3137FVSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    262000 | PA      | $148826.06    | 0.03%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hero Funding                                                             | HERO Funding Trust Series 17-3A Class A2                                | CUSIP: 42771AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423342 | PA      | $390967.62    | 0.07%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                      | Nextera Energy Cap Holdings Inc 4.625%, Due 07/15/2027                  | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1509297.01   | 0.26%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AL6685                       | CUSIP: 3138EPNB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419634 | PA      | $397973.75    | 0.07%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIBLYASSET SECURITIZATION II LLC                                      | Credibility Asset Securitization Series 2021-1A Class A                 | CUSIP: 22534NAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $944360.70    | 0.16%             | 2026-04-15      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| AT&T Inc                                                                 | AT&T, Inc. 4.50%, Due 05/15/2035                                        | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90904.89     | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                             | BX Commercial Mortgage Trust Series 2019-XL, Class F                    | CUSIP: 056054AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1226846.18   | 0.21%             | 2036-10-15      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                                     | Royal Bank of Canada 3.875%, Due 05/04/2032                             | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | US        |    300000 | PA      | $273169.87    | 0.05%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 11-62 Class UA             | CUSIP: 31397U6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    619301 | PA      | $597864.08    | 0.10%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool BM6530                       | CUSIP: 3140JBGH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369497 | PA      | $322065.71    | 0.05%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2007-39 Class NB           | CUSIP: 31396VSS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     96726 | PA      | $95331.68     | 0.02%             | 2037-05-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DIAMOND RESORTS OWNER TRUST                                              | Diamond Resorts Owner Trust Series 19-1A Class B                        | CUSIP: 252722AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62600 | PA      | $61062.60     | 0.01%             | 2032-02-20      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Association Series 306 Class F3              | CUSIP: 31283APR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46031 | PA      | $45847.57     | 0.01%             | 2028-05-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| British Telecommunications PLC                                           | British Telecommunications PLC 3.25%, Due 11/08/2029                    | CUSIP: 11102AAE1<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | US        |    275000 | PA      | $234283.07    | 0.04%             | 2029-11-08      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: —       |
| Walt Disney Company                                                      | Walt Disney Company (The) 1.75%, Due 08/30/2024                         | CUSIP: 254687FK7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    175000 | PA      | $166841.72    | 0.03%             | 2024-08-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool AN6149                       | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $668535.52    | 0.11%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 4738, Class TW            | CUSIP: 3137FC6F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1385000 | PA      | $1228980.03   | 0.21%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2006-108 Class FD          | CUSIP: 31396LTA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    101328 | PA      | $99398.28     | 0.02%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 447 Class YZ              | CUSIP: 3137BHBU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1219925 | PA      | $1163548.41   | 0.20%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                                                         | Westgate Resorts Series 2020-1A, Class C                                | CUSIP: 96034LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555982 | PA      | $547507.45    | 0.09%             | 2034-03-20      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 3617-PC                   | CUSIP: 31398LJH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     76930 | PA      | $74484.71     | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup, Inc. 3.352%, due 04/24/2025                                  | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193935.65    | 0.03%             | 2025-04-24      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST I LLC                                           | Angel Oak Mortgage Trust Series 2019-1, Class B1                        | CUSIP: 03464MAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1151636.00   | 0.20%             | 2048-11-25      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                   | Diamondback Energy, Inc 3.25% Due 12/01/2026                            | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186019.43    | 0.03%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UPGRADE MASTER PASS - THRU TRUST                                         | Upgrade Master Pass-Thru Trust Series 19-ST3 Class A                    | CUSIP: 91532RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6882 | PA      | $6871.97      | 0.00%             | 2025-11-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Principal Life Global Funding II                                         | Principal Life Global Fund II 0.875%, Due 01/12/2026                    | CUSIP: 74256LEK1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $440337.36    | 0.07%             | 2026-01-12      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: —       |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                    | Wells Fargo Mortgage Trust Series 21-SAVE Class C                       | CUSIP: 95003LAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    386334 | PA      | $345598.34    | 0.06%             | 2040-02-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication Series 2013-13, Class WH          | CUSIP: 3136ACD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $823482.30    | 0.14%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Strip SMBS 368                    | CUSIP: 3136FCJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439794 | PA      | $62384.80     | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Walt Disney Company                                                      | The Disney Company 3.80%, Due 03/22/2030                                | CUSIP: 254687FQ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93202.06     | 0.02%             | 2030-03-22      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| MF1 2021-FL5 LTD                                                         | MF1 Limited Series 21-FL5 Class C                                       | CUSIP: 55282XAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $931532.00    | 0.16%             | 2031-03-17      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                               | Constellation Brands, Inc. 3.15%, Due 08/01/2029                        | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    525000 | PA      | $460086.86    | 0.08%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4422 Class DO             | CUSIP: 3137BFJ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    919738 | PA      | $668816.81    | 0.11%             | 2041-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2018-24, Class IO          | CUSIP: 3136B1LK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1886683 | PA      | $321039.49    | 0.05%             | 2048-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                             | U.S. Treasury Bonds 1.375%, Due 11/15/2040                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3750000 | PA      | $2437939.46   | 0.41%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                      | Comcast Corporation 2.65%, Due 02/01/2030                               | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86511.87     | 0.01%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JPMorgan Chase & Co Sr 3.25%, Due 09/22/2027                            | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1038915.60   | 0.18%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2021-121, Class JW      | CUSIP: 38382VMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1708699 | PA      | $963565.61    | 0.16%             | 2051-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool GN 784541                 | CUSIP: 3622A3BJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111700 | PA      | $110993.12    | 0.02%             | 2046-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PFP LTD                                                                  | PFP III Series 2021-7, Class D                                          | CUSIP: 69290LAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    749963 | PA      | $684572.59    | 0.12%             | 2038-04-14      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Magallanes Inc.                                                          | Magallanes Inc. 3.428%, Due 03/15/2024                                  | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    300000 | PA      | $259536.62    | 0.04%             | 2029-03-15      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Ginnie Mae                                                               | Government National Mortgage Association Series 2017-120, Class JZ      | CUSIP: 38380GSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    648523 | PA      | $569819.35    | 0.10%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Express Corporation                                              | FEDEX 1.875%, Due 02/20/2034                                            | CUSIP: 314353AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    468854 | PA      | $384258.62    | 0.07%             | 2034-02-20      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES 2020-1 LLC                                       | Business Jet Securities , LLC Series 20-1A Class B                      | CUSIP: 12327FAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170934 | PA      | $151997.99    | 0.03%             | 2035-11-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JP Morgan Chase & Company 2.739%, Due 10/15/2030                        | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    450000 | PA      | $377377.22    | 0.06%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corporation                                   | Berkshire Hatahway Financial Corp 4.40%, Due 05/15/2042                 | CUSIP: 084664BU4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    135000 | PA      | $123124.56    | 0.02%             | 2042-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST 2022-1                                    | RMF Proprietary Issuance Trust Series 2022-1, Class A1                  | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1538426 | PA      | $1345181.23   | 0.23%             | 2062-01-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Principal Only                   | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    276098 | PA      | $222358.79    | 0.04%             | 2037-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KeyBank National Association                                             | KeyBank National Association 4.15%, Due 08/08/2025                      | CUSIP: 49327M3E2<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    250000 | PA      | $244245.75    | 0.04%             | 2025-08-08      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Lan Mortgage Corporation Series 4183 Class NQ              | CUSIP: 3137B0EF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2920000 | PA      | $2558715.41   | 0.43%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                       | Oracle Corporation 6.900%, Due 11/09/52                                 | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    250000 | PA      | $267456.14    | 0.05%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Association 3.0%, Due 11/15/2044             | CUSIP: 3137BFBQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1020410 | PA      | $805216.76    | 0.14%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bxmt 2020-Fl2 Ltd / Llc                                                  | BXMT Ltd Series 2020-FL2 Class D                                        | CUSIP: 12434LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1520000 | PA      | $1415753.84   | 0.24%             | 2037-02-16      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR3 TRUST                                     | Progress Residential Trust Series 22-SFR3 Class D                       | CUSIP: 74331UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1378576.36   | 0.23%             | 2039-04-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS 2021-A LLC                                     | College Ave Student Loans Series 21-A Class B                           | CUSIP: 19424KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537595 | PA      | $471549.80    | 0.08%             | 2051-07-25      | Fixed         | 2.32%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL CREDIT CARD ABS LLC                                          | Continental Credit Card LLC Series 19-1A Class B                        | CUSIP: 21134LAB4<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $293678.88    | 0.05%             | 2026-08-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group, Inc. 1.093%, Due 12/09/2026                        | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    250000 | PA      | $220381.51    | 0.04%             | 2026-12-09      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                              | Lockheed Martin Corporation 5.25%, Due 01/15/2033                       | CUSIP: 539830BW8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    425000 | PA      | $438185.79    | 0.07%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                 | American Express Company 2.25%, Due 03/04/2025                          | CUSIP: 025816CQ0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    400000 | PA      | $377548.82    | 0.06%             | 2025-03-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association 4.50%, Due 08/20/2049          | CUSIP: 3622AAF90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608426 | PA      | $580452.36    | 0.10%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 226 Class PO              | CUSIP: 3128HVBU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112552 | PA      | $95361.21     | 0.02%             | 2034-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                          | CVS Health Corporateion 3.75%, Due 04/01/2030                           | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $453331.42    | 0.08%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                   | Waste Management Inc 1.15%, Due 03/15/2028                              | CUSIP: 94106LBN8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    300000 | PA      | $250578.17    | 0.04%             | 2028-03-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                           | Morgan Stanley 3.125%, Due 07/27/2026                                   | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93277.18     | 0.02%             | 2026-07-27      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| Amazon.com, Inc.                                                         | Amazon.com, Inc. 3.45%, Due 04/13/2029                                  | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    675000 | PA      | $630494.85    | 0.11%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS V ISSUER LLC                                              | Helios Issuer, LLC Series 21-A Class A                                  | CUSIP: 86746EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530553 | PA      | $431758.98    | 0.07%             | 2048-02-20      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation SERIES 4911 CLASS JM             | CUSIP: 3137FNFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $778813.90    | 0.13%             | 2049-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pnmac Gsmr Issuer Trust                                                  | PNMAC GMSR Issuer Trust SERIES 2018-GT2 CLASS NT                        | CUSIP: 69354WAD8<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $981516.70    | 0.17%             | 2023-08-25      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2013-89 Class DI           | CUSIP: 3136AFY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1200353 | PA      | $116534.75    | 0.02%             | 2033-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Assoication Series 2004-91, Clas SP           | CUSIP: 31394BZM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    155761 | PA      | $158225.09    | 0.03%             | 2031-11-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Rentas Fdo Inv Inm                                                       | Renew Financial, LLC Series 2017-1A Class B                             | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29966 | PA      | $27870.01     | 0.00%             | 2052-09-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Pool 711522X                   | CUSIP: 36297GPF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252846 | PA      | $251222.98    | 0.04%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2009-2 Class PA         | CUSIP: 38375Y3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     54718 | PA      | $54491.40     | 0.01%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                             | U.S. Treasury Notes 2.25%, Due 08/15/2027                               | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1850078.12   | 0.31%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2016-32 Class GO           | CUSIP: 3136ASTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     11453 | PA      | $6694.37      | 0.00%             | 2043-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                 | AT&T, Inc. 2.55%, Due 12/01/2033                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    114000 | PA      | $87610.11     | 0.01%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Expedia Group Inc                                                        | EXPEDIA GROUP INC 3.25, DUE 02/15/2030                                  | CUSIP: 30212PAR6<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |    500000 | PA      | $424147.58    | 0.07%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL CREDIT CARD ABS LLC                                          | Continental Credit Card LLC Series 19-1A Class A                        | CUSIP: 21134LAA6<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |    402384 | PA      | $398877.91    | 0.07%             | 2026-08-15      | Fixed         | 3.83%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 22-4 Class QM              | CUSIP: 3136BLXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1602020 | PA      | $1122108.96   | 0.19%             | 2048-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                           | Citigroup, Inc. 2.976%, due 11/05/2030                                  | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    180000 | PA      | $151348.61    | 0.03%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                              | Bank Of America Corporation 4.571%, Due 04/27/2033                      | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    700000 | PA      | $640291.93    | 0.11%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2022-HB2                                  | Finance of America HECM Buyout Series 2022-HB2, Class M3                | CUSIP: 317380AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1893313.80   | 0.32%             | 2027-09-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM TRUST                                     | Social Professional Loan Program Series 2019-B, Class BFX               | CUSIP: 83404WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $599585.10    | 0.10%             | 2048-08-17      | Fixed         | 3.73%                 | Yes           |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST1                               | Upstart Pass Through Trust Series 22-ST1 Class A                        | CUSIP: 91683NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    666728 | PA      | $624590.39    | 0.11%             | 2030-03-20      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 4613 Class AF             | CUSIP: 3137BRZK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    322220 | PA      | $321245.20    | 0.05%             | 2037-11-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                     | FREMF Mortgage Trust Series 18-KF44 Class B                             | CUSIP: 30296JAC2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    213477 | PA      | $209989.69    | 0.04%             | 2025-02-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JP Morgan Chase & Co. 2.595%, Due 02/24/2026                            | CUSIP: 46647PCV6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188032.01    | 0.03%             | 2026-02-24      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR10 TRUST                                    | Progress Residential Trust Series 2021-SFR10, Class A                   | CUSIP: 74333WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1999536 | PA      | $1644822.86   | 0.28%             | 2040-12-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corporation                                                       | ORACLE CORP SR GLBL NT 3.25%, Due 05/15/2030                            | CUSIP: 68389XBD6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    500000 | PA      | $434134.45    | 0.07%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                      | Bank of Nova Scotia 3.45%, Due 04/11/2025                               | CUSIP: 06417XAH4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192467.48    | 0.03%             | 2025-04-11      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                     | JP Morgan Chase Bank 2.522%, Due 04/22/2031                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    750000 | PA      | $613715.15    | 0.10%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                                         | MF1 Multifamily Housing Mortgage Trust Series 2021-FL5, Class AS        | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    777000 | PA      | $749184.18    | 0.13%             | 2036-07-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5146, Class ZW            | CUSIP: 3137H2GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1616502 | PA      | $792022.98    | 0.13%             | 2051-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                       | Oracle Corporation 2.875%, Due 03/25/2031                               | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    500000 | PA      | $414563.53    | 0.07%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2008-60 Class JC           | CUSIP: 31397LJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    160435 | PA      | $158003.62    | 0.03%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                              | Abbvie, Inc. 4.55%, Due 03/15/2035                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93507.91     | 0.02%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                               | Cooperatieve Rabobank UA 2.625%, Due 07/22/2024                         | CUSIP: 74977RDF8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |    250000 | PA      | $239786.01    | 0.04%             | 2024-07-22      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: —       |
| General Motors Company                                                   | General Motors Company 5.40%, Due 10/15/2029                            | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1097442.38   | 0.19%             | 2029-10-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                   | Federal Home Loan Mortgage Corporation Series 5210, Class BZ            | CUSIP: 3137H6WD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8347297 | PA      | $5645819.38   | 0.96%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2022-SFR2                                             | Tricon Residential Series 2022-SFR2, Class D                            | CUSIP: 89616TAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1869077.60   | 0.32%             | 2040-07-17      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Federal National Mortgage Association Series 2018-091 Class VL          | CUSIP: 38380XUD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1340033 | PA      | $1271935.78   | 0.22%             | 2029-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Pool #7120                        | CUSIP: 3138WU4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332958 | PA      | $313858.41    | 0.05%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2018-154, Class ZU      | CUSIP: 38381AUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    507334 | PA      | $433718.54    | 0.07%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans 2018-A LLC                                     | College Avenue Student Loans Series 2018-A Class B                      | CUSIP: 19423DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67353 | PA      | $63078.72     | 0.01%             | 2047-12-26      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| STELLAR JAY IRELAND DAC/US LLC                                           | Stellar Jay Ireland Dac Series 2021-1, Class B                          | CUSIP: 858558AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946940 | PA      | $778962.88    | 0.13%             | 2028-03-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                         | SMB Private Education Loan Trust Series 2018-C Class B                  | CUSIP: 78449QAD9<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $175046.34    | 0.03%             | 2042-11-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group, Inc. 2.615%, Due 04/22/2032                        | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1674730.74   | 0.28%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 5149, Class CA            | CUSIP: 3137H2RX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1049335 | PA      | $732326.70    | 0.12%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                     | Extended Stay America Trust Series 2021-ESH, Class D                    | CUSIP: 30227FAJ9<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |   1171431 | PA      | $1121475.47   | 0.19%             | 2038-07-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| GENESIS PRIVATE LABEL AMORTIZING TRUST                                   | Genesis PVT Label Trust Series 20-1 Class D                             | CUSIP: 37187PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710054 | PA      | $705380.76    | 0.12%             | 2026-07-20      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2015-123 Class VB       | CUSIP: 38379QDD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    436000 | PA      | $417907.53    | 0.07%             | 2035-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust 2017-1                                                   | GoodGreen Trust Series 2017-1A Class A                                  | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175097 | PA      | $162197.54    | 0.03%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                               | Progress Residential Trust Series 21-SFR4 Class A                       | CUSIP: 74333EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2176997.25   | 0.37%             | 2038-05-19      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | FEDERAL NATIONAL MORTGAGE ASSOC. Series 18-31 Class KQ                  | CUSIP: 3136B1YE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    600000 | PA      | $530747.10    | 0.09%             | 2048-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gs Mtg Secs Corp Tr 2018                                                 | Goldman Sachs Mortgage Securities Corp. Trust Series 2018-HULA, Class C | CUSIP: 36259AAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    882756 | PA      | $851682.29    | 0.14%             | 2025-07-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                                  | American Airlines Passthrough Trust Series 2016-2 Class AA              | CUSIP: 023765AA8<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-O            | CORP              | US        |    323775 | PA      | $280784.93    | 0.05%             | 2029-12-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                                    | FMC GMSR Issuer Trust Series 2021-GT2                                   | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2440000 | PA      | $1956772.64   | 0.33%             | 2026-10-26      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| CIG AUTO RECEIVABLES TRUST                                               | Cig Auto Receivables Trust Series 2020-1 Class C                        | CUSIP: 12597UAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420030 | PA      | $418227.98    | 0.07%             | 2026-02-12      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN LTD                                                   | Loanpal Solar Loan Ltd. Series 21-1GS Class B                           | CUSIP: 53948PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    829901 | PA      | $615927.07    | 0.10%             | 2048-01-20      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corp Series 5028 Class PW                    | CUSIP: 3137FWSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    684000 | PA      | $415041.08    | 0.07%             | 2050-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS IV ISSUER LLC                                             | Helios Issuer, LLC Series 2020-AA, Class A                              | CUSIP: 86746CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226398 | PA      | $193332.56    | 0.03%             | 2047-06-20      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                                  | Keycorp Bank 4.789%, Due 06/01/2033                                     | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    300000 | PA      | $283256.65    | 0.05%             | 2033-06-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Security Stripped Interest Security                        | U.S. Treasury Strips 0.000%, Due 02/15/2038                             | CUSIP: 912833Z60<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $3175964.52   | 0.54%             | 2038-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 3107, Class DC            | CUSIP: 31396HEN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    517531 | PA      | $2637.03      | 0.00%             | 2035-06-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECURITIES TRUST                                      | Brean Asset Backed Securities Series 2021-RM2, Class A                  | CUSIP: 10638MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1386171 | PA      | $1209977.64   | 0.21%             | 2061-10-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                           | Protective Life Global Funding 1.9%, Due 07/05/2028                     | CUSIP: 74368CBG8<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    650000 | PA      | $540185.72    | 0.09%             | 2028-07-05      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| PFP LTD                                                                  | PFP Series 21-7, Class B                                                | CUSIP: 69290LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    699965 | PA      | $654254.55    | 0.11%             | 2038-04-14      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| SMR 2022-IND MORTGAGE TRUST                                              | SMR Mortgage Trust Series 2022-IND, Class D                             | CUSIP: 78458MAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482295 | PA      | $441503.77    | 0.07%             | 2039-02-25      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| FHF TRUST 2021-2                                                         | First Help Financial LLC Series 21-2A Class A                           | CUSIP: 30322JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090000 | PA      | $987755.38    | 0.17%             | 2027-09-15      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                    | Federal National Mortgage Association Series 2020-15, Class KY          | CUSIP: 3136B8M63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2077414 | PA      | $1542188.64   | 0.26%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Association Pool FG G61909                   | CUSIP: 31335CDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379118 | PA      | $373964.37    | 0.06%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                 | AT&T Inc. 4.30%, Due 12/15/2042                                         | CUSIP: 00206RBH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    500000 | PA      | $410197.05    | 0.07%             | 2042-12-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| A10 BRIDGE ASSET FINANCING LLC                                           | A10 Securitization Series 2020-C Class D                                | CUSIP: 66981EAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $239299.00    | 0.04%             | 2040-08-15      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| The Kroger Co.                                                           | Kroger Company (The) 2.650% Due 10/15/2026                              | CUSIP: 501044DE8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91785.84     | 0.02%             | 2026-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| BREX COMMERCIAL CHARGE CARD MASTER TRUST                                 | Brex Technology Company Series 2022-1 Class A                           | CUSIP: 05601DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $677773.53    | 0.12%             | 2025-07-15      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Discover Bank                                                            | Discover Bank 4.65%, due 09/13/2028                                     | CUSIP: 25466AAP6<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    700000 | PA      | $656923.65    | 0.11%             | 2028-09-13      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| ACC AUTO TRUST                                                           | AC Auto Trust Series 21-A Class A                                       | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286035 | PA      | $282348.46    | 0.05%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Company                                                    | Wells Fargo & Company 2.164%, due 02/11/2026                            | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $978844.69    | 0.17%             | 2026-02-11      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                   | Federal Home Loan Mortgage Corporation Series 3605 Class PB             | CUSIP: 31398KP95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     61789 | PA      | $59802.15     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                                                    | American Homes 4 Rent Series 2015-SFR1 Class A                          | CUSIP: 02666AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110591 | PA      | $105311.68    | 0.02%             | 2052-04-17      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 2011-139 Class LS       | CUSIP: 38377YS43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1704118 | PA      | $132019.86    | 0.02%             | 2038-03-16      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corporation                                                 | Atmos Energy Corporation 4.125%, Due 03/15/2049                         | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    885000 | PA      | $723757.74    | 0.12%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| State Street Corporation                                                 | State Street Corporation 2.354%, Due 11/01/2025                         | CUSIP: 857477BE2<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    175000 | PA      | $166907.33    | 0.03%             | 2025-11-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Aventura Mall Trust                                                      | Aventura Mall Trust Series 2018-AVM Class C                             | CUSIP: 05359AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $536874.59    | 0.09%             | 2040-07-09      | Floating      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ERP Operating Limited Partnership                                        | ERP Operating, L.P. 2.850%, Due 11/01/2026                              | CUSIP: 26884ABF9<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92652.17     | 0.02%             | 2026-11-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International S.A.                                 | TOTAL CAPITAL INTERNATIONAL SA 2.829%, DUE 01/10/2030                   | CUSIP: 89153VAT6<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | US        |    120000 | PA      | $105918.61    | 0.02%             | 2030-01-10      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc                                                       | Coterra Energy, Inc. 3.90%, Due 05/15/2027                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93372.10     | 0.02%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                | Goldman Sachs Group Inc. 0.657%, Due 09/10/2024                         | CUSIP: 38141GYE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    375000 | PA      | $360763.66    | 0.06%             | 2024-09-10      | Fixed         | 0.66%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                 | Government National Mortgage Association Series 13-6 Class PE           | CUSIP: 38378FHY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    100000 | PA      | $77698.58     | 0.01%             | 2043-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Gs Mtg Secs Corp Tr 2018                                                 | Goldman Sachs Mortgage Securities Corp. Trust Series 2018-HULA, Class B | CUSIP: 36259AAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663210 | PA      | $641530.72    | 0.11%             | 2025-07-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Sofi Professional Loan Program 2017-E LLC                                | Social Professional Loan Program Series 2017-E Class C                  | CUSIP: 83404KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1585000 | PA      | $1380327.37   | 0.23%             | 2040-11-26      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| Hero Funding 2016-4                                                      | Hero Funding Trust Series 2016-4A Class A1                              | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129067 | PA      | $122104.32    | 0.02%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                                                | Toyota Motor Credit Corp. 0.5%, Due 06/18/2024                          | CUSIP: 89236TJH9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    500000 | PA      | $469067.61    | 0.08%             | 2024-06-18      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CAFL ISSUER LLC                                                          | Colony American Finance Ltd. Series 2021-RTL1, Class A2                 | CUSIP: 12468RAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $897604.80    | 0.15%             | 2029-03-28      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-01

**Name of Applicant:** Diamond Hill Funds

**Signature:** Julie Roach

**Name of Signer:** Julie Roach

**Title:** Treasurer