# EDGAR Filing Document

**Accession Number:** 0000803013
**File Stem:** 0000035402-25-002323
**Filing Date:** 2025-11
**Character Count:** 1055784
**Document Hash:** 3b9a4bddc7119a01fa514542da92eae1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-002323.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000035402-25-002323

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY GARRISON STREET TRUST
- **CENTRAL INDEX KEY:** 0000803013

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04861
- **FILM NUMBER:** 251519931

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY ADVISOR SERIES V
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES /NY/
- **DATE OF NAME CHANGE:** 19920206

## Series and Classes Contracts Data

### VIP Investment Grade Central Fund (Series ID: S000013236)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000035576 | VIP Investment Grade Central Fund |  |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® VIP Investment Grade Central Fund**

**September 30, 2025**

VIGC-NPRT3-1125

1.837325.119 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 8.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 8.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.6%  |  |  |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.682% 7/20/2037 (b)(c)(d) | 2147000 | 2154276 |
| Aimco Clo 19 Ltd / Aimco Clo 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6755% 10/20/2037 (b)(c)(d) | 758000 | 760977 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.8255% 4/19/2037 (b)(c)(d) | 4137000 | 4153879 |
| Bain Cap Cr Clo Ltd / Bain Cap Cr Clo LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.5543% 7/18/2038 (b)(c)(d) | 2397000 | 2405162 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6755% 10/20/2037 (b)(c)(d) | 2445000 | 2452264 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.6476% 1/15/2038 (b)(c)(d) | 2057000 | 2066495 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.6655% 10/20/2037 (b)(c)(d) | 2092000 | 2097123 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.8355% 7/20/2037 (b)(c)(d) | 1856000 | 1864682 |
| TOTAL BAILIWICK OF JERSEY |  | 17954858 |
| GRAND CAYMAN (UK OVERSEAS TER) - 5.3%  |  |  |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.6624% 7/17/2037 (b)(c)(d) | 2190000 | 2198020 |
| Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2021-14A Class A, CME Term SOFR 3 month Index + 1.2516%, 5.5771% 4/20/2034 (b)(c)(d) | 3132569 | 3132569 |
| Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2025-14A Class A1R, CME Term SOFR 3 month Index + 1.22%, 1.22% 10/20/2038 (b)(c)(d) | 3132569 | 3133938 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.8178% 4/16/2037 (b)(c)(d) | 2577000 | 2587419 |
| Allegro Clo Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.6577% 7/20/2038 (b)(c)(d) | 1532000 | 1535884 |
| Allegro Clo Xii Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.44%, 5.7655% 7/21/2037 (b)(c)(d) | 3308000 | 3319214 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 5.6215% 7/15/2038 (b)(c)(d) | 2687000 | 2699057 |
| Ares Lix Clo Ltd Series 2021-59A Class A, CME Term SOFR 3 month Index + 1.2916%, 5.6101% 4/25/2034 (b)(c)(d) | 1039487 | 1040349 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.6876% 10/15/2037 (b)(c)(d) | 1386000 | 1394209 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.5576% 4/15/2038 (b)(c)(d) | 2126000 | 2128930 |
| Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.6492% 4/15/2034 (b)(c)(d) | 2173138 | 2174811 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 5.5776% 1/15/2038 (b)(c)(d) | 1292000 | 1294092 |
| Barings Clo Ltd Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.75%, 6.0755% 1/20/2037 (b)(c)(d) | 3122000 | 3130639 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.6955% 10/20/2037 (b)(c)(d) | 2095000 | 2104300 |
| Barings Clo Ltd Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.2816%, 5.6001% 4/25/2034 (b)(c)(d) | 2282638 | 2285633 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5413% 7/24/2035 (b)(c)(d) | 2122000 | 2117588 |
| Beechwood Park Clo Ltd Series 2022-1A Class A1R, CME Term SOFR 3 month Index + 1.3%, 5.6224% 1/17/2035 (b)(c)(d) | 2810000 | 2815227 |
| Benefit Street Partners CLO Ltd Series 2025-43A Class A, CME Term SOFR 3 month Index + 1.27%, 0% 10/20/2038 (b)(c)(d)(e) | 2227000 | 2227960 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.7092% 1/15/2035 (b)(c)(d) | 1601217 | 1603154 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 5.6355% 1/20/2038 (b)(c)(d) | 1648000 | 1652641 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.7285% 7/25/2037 (b)(c)(d) | 2843000 | 2852069 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 5.5185% 1/25/2038 (b)(c)(d) | 1960000 | 1961494 |
| Cedar Fdg Xvii Clo Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6755% 7/20/2038 (b)(c)(d) | 1848000 | 1854503 |
| Cedar Funding Ltd Series 2022-15A Class A, CME Term SOFR 3 month Index + 1.32%, 5.6455% 4/20/2035 (b)(c)(d) | 2429000 | 2428990 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.6855% 10/20/2037 (b)(c)(d) | 1562000 | 1566333 |
| CEDF Series 2021-6A Class ARR, CME Term SOFR 3 month Index + 1.3116%, 5.6371% 4/20/2034 (b)(c)(d) | 1887884 | 1887884 |
| Cifc Funding 2025-Vi Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.25%, 1.25% 10/23/2038 (b)(c)(d)(e) | 1403000 | 1403612 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 5.3593% 10/15/2038 (b)(c)(d) | 2120000 | 2125024 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 5.2695% 4/18/2035 (b)(c)(d) | 2425000 | 2427862 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 5.6255% 4/20/2035 (b)(c)(d) | 2990000 | 2990356 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.859% 4/18/2037 (b)(c)(d) | 2356000 | 2364642 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.6976% 7/15/2037 (b)(c)(d) | 2806000 | 2815978 |
| Dryden Senior Loan Fund Series 2021-90A Class A1A, CME Term SOFR 3 month Index + 1.3916%, 5.5952% 2/20/2035 (b)(c)(d) | 2075083 | 2076051 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.7076% 10/15/2037 (b)(c)(d) | 2219000 | 2224252 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.6976% 10/15/2037 (b)(c)(d) | 2283000 | 2288073 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 5.4434% 4/15/2038 (b)(c)(d) | 2121000 | 2118686 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.38%, 5.5835% 5/20/2036 (b)(c)(d) | 2662000 | 2667324 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 1.24% 11/20/2038 (b)(c)(d) | 2662000 | 2662000 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 5.6063% 10/22/2038 (b)(c)(d) | 2133000 | 2142223 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.6855% 10/19/2037 (b)(c)(d) | 2396000 | 2402313 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (b) | 932341 | 913685 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.8676% 4/15/2037 (b)(c)(d) | 2115000 | 2120412 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 5.4061% 4/15/2038 (b)(c)(d) | 1534000 | 1534749 |
| Madison Park Funding 2015 Series 2024-19A Class AR3, CME Term SOFR 3 month Index + 1.6%, 5.932% 1/22/2037 (b)(c)(d) | 1000000 | 1003521 |
| Madison Pk Fdg L Ltd / Madison Pk Fdg L LLC Series 2021-50A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.7271% 4/19/2034 (b)(c)(d) | 2186940 | 2188805 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.8285% 4/25/2037 (b)(c)(d) | 2724000 | 2733567 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 5.3976% 7/15/2034 (b)(c)(d) | 1390072 | 1391090 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 5.6385% 7/25/2038 (b)(c)(d) | 2169000 | 2176641 |
| Magnetite CLO Ltd Series 2024-30A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6685% 10/25/2037 (b)(c)(d) | 2357478 | 2363431 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 5.435% 4/15/2038 (b)(c)(d) | 1483000 | 1483064 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 5.6085% 1/25/2038 (b)(c)(d) | 1342000 | 1345642 |
| Magnetite XXI Ltd Series 2021-21A Class AR, CME Term SOFR 3 month Index + 1.2816%, 5.6071% 4/20/2034 (b)(c)(d) | 1823166 | 1823954 |
| Magnetite Xxiii Ltd Series 2021-23A Class AR, CME Term SOFR 3 month Index + 1.3916%, 5.7101% 1/25/2035 (b)(c)(d) | 5340000 | 5344763 |
| Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6676% 7/15/2037 (b)(c)(d) | 2086000 | 2092350 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.4685% 1/25/2038 (b)(c)(d) | 1997000 | 1997222 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 5.5576% 1/15/2038 (b)(c)(d) | 2717000 | 2722621 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 5.2849% 4/15/2038 (b)(c)(d) | 2531000 | 2532610 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.729% 7/18/2038 (b)(c)(d) | 2147000 | 2152443 |
| Oak Hill Credit Partners Series 2024-13A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6755% 7/20/2037 (b)(c)(d) | 3605000 | 3612347 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (b)(c)(d) | 2254000 | 2258071 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 5.622% 1/22/2038 (b)(c)(d) | 2452000 | 2461364 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 5.5555% 4/20/2038 (b)(c)(d) | 1397000 | 1398382 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 5.6555% 10/20/2037 (b)(c)(d) | 1921000 | 1925349 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.8255% 4/20/2037 (b)(c)(d) | 3069000 | 3081319 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.9755% 4/20/2037 (b)(c)(d) | 250000 | 250585 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.3435% 2/20/2038 (b)(c)(d) | 1936000 | 1935028 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 5.649% 1/18/2038 (b)(c)(d) | 834000 | 835945 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 5.2277% 7/15/2033 (b)(c)(d) | 2158000 | 2157804 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 5.3176% 1/15/2033 (b)(c)(d) | 1080753 | 1081336 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 5.0114% 2/15/2033 (b)(c)(d) | 2268706 | 2266265 |
| Peace Park Clo Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.4104% 10/20/2038 (b)(c)(d) | 761000 | 763244 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (b) | 979912 | 948585 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6676% 10/15/2039 (b)(c)(d) | 1065000 | 1068590 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.6576% 1/15/2037 (b)(c)(d) | 2626000 | 2628705 |
| Sixth Street Clo Xix Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 5.5639% 7/17/2038 (b)(c)(d) | 1380000 | 1383507 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 5.4595% 10/17/2038 (b)(c)(d) | 2113000 | 2117414 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.5829% 7/17/2038 (b)(c)(d) | 1771000 | 1776795 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.8376% 4/15/2037 (b)(c)(d) | 1886000 | 1892716 |
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC Series 2021-26A Class AR, CME Term SOFR 3 month Index + 1.3416%, 5.6671% 4/20/2033 (b)(c)(d) | 1643391 | 1643784 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (b)(d) | 587196 | 586856 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (b) | 952199 | 924320 |
| Voya CLO Ltd Series 2023-1A Class A1, CME Term SOFR 3 month Index + 1.8%, 6.1255% 1/20/2037 (b)(c)(d) | 2387000 | 2392679 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.8376% 4/15/2037 (b)(c)(d) | 1190000 | 1194258 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 5.6355% 1/20/2038 (b)(c)(d) | 648000 | 650667 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 170991788 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (b) | 860214 | 873883 |
| MULTI-NATIONAL - 0.2%  |  |  |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.5055% 4/20/2038 (b)(c)(d) | 1736000 | 1735339 |
| Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.8185% 7/27/2037 (b)(c)(d) | 2418000 | 2426354 |
| Ocp Clo 2018-15 Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5755% 1/20/2038 (b)(c)(d) | 1400000 | 1402066 |
| TOTAL MULTI-NATIONAL |  | 5563759 |
| UNITED STATES - 2.4%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (b) | 1555999 | 1606670 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (b) | 1420978 | 1467251 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (b) | 1270658 | 1298415 |
| AASET Trust Series 2019-2 Class A, 3.376% 10/16/2039 (b) | 179959 | 178163 |
| AASET Trust Series 2019-2 Class B, 4.458% 10/16/2039 (b) | 65750 | 64110 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (b) | 900291 | 863307 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (b) | 2389310 | 2251795 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (b) | 1728648 | 1769510 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (b) | 173380 | 170596 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (b) | 1824356 | 1723742 |
| Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (b)(f) | 517762 | 517927 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (b) | 234835 | 231781 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (b) | 612840 | 597524 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (b) | 666261 | 632956 |
| Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/2046 (b) | 52710 | 52385 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (b) | 1710325 | 1691084 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (b) | 4594013 | 4078086 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (b) | 847000 | 824527 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.8276% 7/15/2037 (b)(c)(d) | 2272000 | 2278434 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (b) | 2937739 | 2998481 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (b) | 1690000 | 1714129 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 5.4985% 1/25/2038 (b)(c)(d) | 2081000 | 2079974 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (b) | 596498 | 589036 |
| Jersey Mike's Funding Series 2019-1A Class A2, 4.433% 2/15/2050 (b) | 3255425 | 3251491 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (b) | 1791000 | 1825462 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (b) | 1335000 | 1361517 |
| Navigator Aircraft Abs Ltd Series 2025-1 Class A, 5.107% 10/15/2050 (b) | 3235000 | 3245352 |
| OCP CLO Ltd Series 2025-8RA Class AR2, CME Term SOFR 3 month Index + 1.22%, 0% 10/17/2038 (b)(c)(d) | 2081000 | 2081000 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class A, 4.82% 7/14/2038 (b) | 4200000 | 4242355 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (b) | 2240000 | 2249187 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (b) | 391764 | 400995 |
| Pk Alift Loan Funding 7 LP Series 2025-2 Class A, 4.75% 3/15/2043 (b) | 2425000 | 2425243 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (b) | 1400555 | 1343197 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/2051 (b) | 1518910 | 1492745 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (b) | 1356790 | 1264916 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class A, 3.228% 3/15/2040 (b) | 923826 | 882494 |
| SBA Tower Trust Series 2020, 1.884% 7/15/2050 (b) | 733000 | 727444 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (b) | 560000 | 532198 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (b) | 1435593 | 1472654 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (b) | 1938353 | 2023730 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (b) | 3717905 | 3769891 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (b) | 2210298 | 2267519 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (b) | 2643028 | 2632796 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (b) | 2756173 | 2756587 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (b) | 1304145 | 1307949 |
| Taco Bell Fdg LLC Series 2025-1A Class A2I, 4.821% 8/25/2055 (b) | 3045000 | 3052045 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 5.1324% 9/25/2034 (c)(d) | 2011 | 2143 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b) | 1769643 | 1792411 |
| TOTAL UNITED STATES |  | 78083204 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $272,765,245) |  | <br> **273467492** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Capital One NA ICE IBA - USD SOFR SPREAD-ADJ ICE SWAP RATE 5Y + 1.73%, 5.974% 8/9/2028 (c)(d) | 847000 | 877049 |
| Regions Bank/Birmingham AL 6.45% 6/26/2037  | 2368000 | 2595560 |
| <br> **TOTAL BANK NOTES**<br> (Cost $3,277,628) |  | <br> **3472609** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Fannie Mae Mortgage pass-thru certificates Series 1999-57 Class PH, 6.5% 12/25/2029  | 8367 | 8587 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 5.5468% 7/20/2034 (c)(d) | 336 | 314 |
| TOTAL UNITED STATES |  | 8901 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $8,424) |  | <br> **8901** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 4.1%  |  |  |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) | 911877 | 864573 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (b) | 265000 | 246615 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 201824 | 189674 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.5057% 9/15/2056 (d) | 1307000 | 1407515 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 420518 | 417166 |
| Benchmark Mortgage Trust Series 2018-B8 Class A5, 4.2317% 1/15/2052  | 2882896 | 2846987 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 389846 | 379838 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.4923% 3/15/2041 (b)(c)(d) | 1158518 | 1160690 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.5221% 6/15/2041 (b)(c)(d) | 1665000 | 1667081 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.7917% 6/15/2041 (b)(c)(d) | 822000 | 823798 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 5.9914% 6/15/2041 (b)(c)(d) | 581000 | 582271 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.3919% 11/5/2039 (b)(d) | 7379000 | 7521235 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.5418% 3/15/2041 (b)(c)(d) | 4921709 | 4924785 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.7915% 5/15/2041 (b)(d) | 2925317 | 2928974 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.1963% 4/15/2034 (b)(c)(d) | 780087 | 776187 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.4963% 4/15/2034 (b)(c)(d) | 1007281 | 997208 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.7963% 4/15/2034 (b)(c)(d) | 665897 | 657573 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 6.0963% 4/15/2034 (b)(c)(d) | 699023 | 688538 |
| BX Commercial Mortgage Trust Series 2020-VIV2 Class C, 3.6605% 3/9/2044 (b)(d) | 5519000 | 5123673 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.9536% 10/15/2036 (b)(c)(d) | 2648253 | 2641649 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 5.1633% 10/15/2036 (b)(c)(d) | 396287 | 395048 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 5.3631% 10/15/2036 (b)(c)(d) | 530325 | 528336 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.5628% 10/15/2036 (b)(c)(d) | 514682 | 512752 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 6.212% 10/15/2036 (b)(c)(d) | 1789733 | 1783022 |
| BX Commercial Mortgage Trust Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.6412% 4/15/2037 (b)(c)(d) | 1376766 | 1377196 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 5.1631% 2/15/2039 (b)(c)(d) | 1304273 | 1303051 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 5.4625% 2/15/2039 (b)(c)(d) | 758100 | 757152 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.7119% 2/15/2039 (b)(c)(d) | 758100 | 757152 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 6.111% 2/15/2039 (b)(c)(d) | 758100 | 757152 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.9116% 12/9/2040 (b)(c)(d) | 1346813 | 1348495 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.341% 12/9/2040 (b)(c)(d) | 297860 | 298232 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.7903% 12/9/2040 (b)(c)(d) | 161102 | 161404 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.443% 12/15/2039 (b)(c)(d) | 2530313 | 2536639 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.5935% 4/15/2040 (b)(c)(d) | 4637249 | 4645940 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.5502% 6/15/2035 (b)(c)(d) | 816000 | 814725 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.592% 4/15/2041 (b)(c)(d) | 3428624 | 3437298 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 5.8417% 4/15/2041 (b)(c)(d) | 546704 | 547216 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 6.0913% 4/15/2041 (b)(c)(d) | 453664 | 454231 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.294% 3/15/2030 (b)(c)(d) | 6056379 | 6043131 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.5436% 3/15/2030 (b)(c)(d) | 886542 | 884326 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.6934% 3/15/2030 (b)(c)(d) | 1249128 | 1246005 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.0655% 2/15/2036 (b)(c)(d) | 278000 | 277913 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 4.9355% 6/15/2038 (b)(c)(d) | 213047 | 212914 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 6.0902% 4/15/2037 (b)(c)(d) | 970200 | 970503 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 6.4402% 4/15/2037 (b)(c)(d) | 219100 | 219305 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 6.9892% 4/15/2037 (b)(c)(d) | 183400 | 183629 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.5922% 2/15/2039 (b)(c)(d) | 2661605 | 2664100 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.9417% 2/15/2039 (b)(c)(d) | 343373 | 344231 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.8414% 3/15/2041 (b)(c)(d) | 841185 | 842237 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 6.091% 3/15/2041 (b)(c)(d) | 1116649 | 1118394 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.3002% 2/15/2035 (b)(c)(d) | 2038000 | 2033542 |
| Cent Trust Series 2025-CITY Class A, 5.0909% 7/10/2040 (b)(d) | 1812000 | 1832896 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (b) | 2904962 | 2418904 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 850545 | 850362 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (b)(d) | 563000 | 577971 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 4.9665% 11/15/2038 (b)(c)(d) | 3628064 | 3624663 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class B, CME Term SOFR 1 month Index + 1.2347%, 5.3857% 11/15/2038 (b)(c)(d) | 1006613 | 1005669 |
| Extended Stay America Trust Series 2021-ESH Class A, CME Term SOFR 1 month Index + 1.1945%, 5.3445% 7/15/2038 (b)(c)(d) | 1022051 | 1022051 |
| Extended Stay America Trust Series 2021-ESH Class B, CME Term SOFR 1 month Index + 1.4945%, 5.6445% 7/15/2038 (b)(c)(d) | 581860 | 581860 |
| Extended Stay America Trust Series 2021-ESH Class C, CME Term SOFR 1 month Index + 1.8145%, 5.9645% 7/15/2038 (b)(c)(d) | 2105660 | 2105660 |
| Extended Stay America Trust Series 2021-ESH Class D, CME Term SOFR 1 month Index + 2.3645%, 6.5145% 7/15/2038 (b)(c)(d) | 865201 | 865201 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 5.45% 10/15/2042 (b)(c)(d) | 6380000 | 6391963 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.75% 10/15/2042 (b)(c)(d) | 760000 | 761425 |
| Extended Stay America Trust Series 2025-ESH Class C, CME Term SOFR 1 month Index + 1.85%, 6% 10/15/2042 (b)(c)(d) | 370000 | 370924 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (d) | 4250000 | 4297533 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.2155% 10/15/2036 (b)(c)(d) | 1559690 | 1552866 |
| GS Mortgage Securities Trust Series 2021-IP Class B, CME Term SOFR 1 month Index + 1.2645%, 5.4155% 10/15/2036 (b)(c)(d) | 241085 | 239891 |
| GS Mortgage Securities Trust Series 2021-IP Class C, CME Term SOFR 1 month Index + 1.6645%, 5.8155% 10/15/2036 (b)(c)(d) | 2497757 | 2485269 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (b) | 223602 | 152049 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (b) | 386779 | 208861 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 5.4454% 5/15/2039 (b)(c)(d) | 3430000 | 3335676 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.9441% 5/15/2039 (b)(c)(d) | 2383000 | 2233895 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 6.2433% 5/15/2039 (b)(c)(d) | 1335000 | 1219856 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.6921% 5/15/2039 (b)(c)(d) | 1187000 | 1079422 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 5.3645% 3/15/2038 (b)(c)(d) | 36263 | 36104 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.6645% 3/15/2038 (b)(c)(d) | 330648 | 328583 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 6.0145% 3/15/2038 (b)(c)(d) | 288995 | 286466 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 1895246 | 1875308 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.2392% 11/15/2040 (b)(c)(d) | 108571 | 108571 |
| OPEN Trust Series 2023-AIR Class B, CME Term SOFR 1 month Index + 3.838%, 7.9882% 11/15/2040 (b)(c)(d) | 804800 | 805303 |
| Providence Place Group LP Series 2000-C1 Class A2, 7.75% 7/20/2028 (b) | 529063 | 540448 |
| SPGN Mortgage Trust Series 2022-TFLM Class B, CME Term SOFR 1 month Index + 2%, 6.1502% 2/15/2039 (b)(c)(d) | 642000 | 632514 |
| SPGN Mortgage Trust Series 2022-TFLM Class C, CME Term SOFR 1 month Index + 2.65%, 6.8002% 2/15/2039 (b)(c)(d) | 334000 | 327419 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.9954% 11/15/2038 (b)(c)(d) | 2830547 | 2827894 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.3444% 11/15/2038 (b)(c)(d) | 1734655 | 1733028 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.5936% 11/15/2038 (b)(c)(d) | 737143 | 736452 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 5.8428% 11/15/2038 (b)(c)(d) | 484482 | 484028 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.3931% 12/15/2039 (b)(c)(d) | 3273000 | 3277090 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.7426% 12/15/2039 (b)(c)(d) | 613000 | 612616 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 6.142% 12/15/2039 (b)(c)(d) | 452000 | 453130 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (b) | 1766729 | 1510254 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (b) | 113488 | 92722 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.4655% 5/15/2031 (b)(c)(d) | 1349000 | 1345738 |
| TOTAL UNITED STATES |  | 133529836 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $135,425,799) |  | <br> **133529836** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| SAUDI ARABIA - 0.0%  |  |  |
| Kingdom of Saudi Arabia 3.25% 10/22/2030 (b) | 966000 | 920236 |
| Kingdom of Saudi Arabia 4.5% 4/22/2060 (b) | 736000 | 605360 |
| TOTAL SAUDI ARABIA |  | 1525596 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $1,691,828) |  | <br> **1525596** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 22.7%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 22.7%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 22.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (b)(d) | 802000 | 769828 |
| Westpac Banking Corp 4.11% 7/24/2034 (d) | 1139000 | 1115396 |
| TOTAL AUSTRALIA |  | 1885224 |
| BELGIUM - 0.0%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Beverages - 0.0% |  |  |
| Anheuser-Busch InBev Worldwide Inc 3.5% 6/1/2030  | 1135000 | 1105025 |
| CANADA - 0.2%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Gildan Activewear Inc 4.7% 10/7/2030 (b)(e) | 262000 | 261605 |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Canadian Natural Resources Ltd 5.85% 2/1/2035  | 766000 | 799472 |
| Cenovus Energy Inc 3.75% 2/15/2052  | 2600000 | 1847336 |
| Cenovus Energy Inc 5.25% 6/15/2037  | 1010000 | 983023 |
| Enbridge Inc 4.25% 12/1/2026  | 544000 | 544066 |
|  |  | 4173897 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Emera US Finance LP 3.55% 6/15/2026  | 580000 | 576565 |
| TOTAL CANADA |  | 5012067 |
| FRANCE - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| BNP Paribas SA 5.786% 1/13/2033 (b)(d) | 2966000 | 3112890 |
| Societe Generale SA 1.488% 12/14/2026 (b)(d) | 2986000 | 2967471 |
| Societe Generale SA 5.5% 4/13/2029 (b)(d) | 2025000 | 2067656 |
| TOTAL FRANCE |  | 8148017 |
| GERMANY - 0.2%  |  |  |
| Financials - 0.1% |  |  |
| Capital Markets - 0.1% |  |  |
| Deutsche Bank AG/New York NY 4.999% 9/11/2030 (d) | 600000 | 608592 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (d) | 1600000 | 1680223 |
|  |  | 2288815 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Bayer US Finance II LLC 4.25% 12/15/2025 (b) | 1338000 | 1336828 |
| Utilities - 0.1% |  |  |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| RWE Finance US LLC 5.125% 9/18/2035 (b) | 1867000 | 1841553 |
| TOTAL GERMANY |  | 5467196 |
| HONG KONG - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Insurance - 0.0% |  |  |
| AIA Group Ltd 3.2% 9/16/2040 (b) | 1070000 | 841128 |
| IRELAND - 0.5%  |  |  |
| Financials - 0.3% |  |  |
| Consumer Finance - 0.3% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 1236000 | 1214351 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 1295000 | 1247982 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  | 1385000 | 1275437 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 4/3/2026  | 959000 | 958889 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 4054000 | 4180754 |
|  |  | 8877413 |
| Industrials - 0.2% |  |  |
| Transportation Infrastructure - 0.2% |  |  |
| Avolon Holdings Funding Ltd 4.25% 4/15/2026 (b) | 485000 | 484136 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (b) | 1433000 | 1432036 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (b) | 219000 | 222137 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (b) | 1183000 | 1213504 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (b) | 2774000 | 2893611 |
|  |  | 6245424 |
| TOTAL IRELAND |  | 15122837 |
| ITALY - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Intesa Sanpaolo SpA 5.71% 1/15/2026 (b) | 3922000 | 3930531 |
| JAPAN - 0.1%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| NTT Finance Corp 4.567% 7/16/2027 (b) | 424000 | 427057 |
| NTT Finance Corp 4.62% 7/16/2028 (b) | 429000 | 433242 |
| NTT Finance Corp 4.876% 7/16/2030 (b) | 1128000 | 1146130 |
| TOTAL JAPAN |  | 2006429 |
| MEXICO - 0.7%  |  |  |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Petroleos Mexicanos 5.95% 1/28/2031  | 1957000 | 1897312 |
| Petroleos Mexicanos 6.35% 2/12/2048  | 4049000 | 3220210 |
| Petroleos Mexicanos 6.5% 1/23/2029  | 1705000 | 1733984 |
| Petroleos Mexicanos 6.7% 2/16/2032  | 6634000 | 6575953 |
| Petroleos Mexicanos 6.75% 9/21/2047  | 3713000 | 3072136 |
| Petroleos Mexicanos 6.95% 1/28/2060  | 2417000 | 1992696 |
| Petroleos Mexicanos 7.69% 1/23/2050  | 4972000 | 4521785 |
| TOTAL MEXICO |  | 23014076 |
| NETHERLANDS - 0.4%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| ABN AMRO Bank NV 4.988% 12/3/2028 (b)(d) | 9000000 | 9139266 |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  | 936000 | 937125 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  | 2700000 | 2727566 |
|  |  | 3664691 |
| TOTAL NETHERLANDS |  | 12803957 |
| QATAR - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Gas Utilities - 0.0% |  |  |
| Nakilat Inc 6.067% 12/31/2033 (b) | 409102 | 433300 |
| SWITZERLAND - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Capital Markets - 0.2% |  |  |
| UBS Group AG 1.494% 8/10/2027 (b)(d) | 1788000 | 1745877 |
| UBS Group AG 3.869% 1/12/2029 (b)(d) | 1233000 | 1222672 |
| UBS Group AG 4.194% 4/1/2031 (b)(d) | 2950000 | 2916500 |
| UBS Group AG 4.55% 4/17/2026  | 790000 | 792096 |
|  |  | 6677145 |
| Insurance - 0.0% |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (b)(d) | 200000 | 201516 |
| TOTAL SWITZERLAND |  | 6878661 |
| UNITED KINGDOM - 0.6%  |  |  |
| Consumer Staples - 0.1% |  |  |
| Tobacco - 0.1% |  |  |
| BAT Capital Corp 6.421% 8/2/2033  | 1030000 | 1130765 |
| Imperial Brands Finance PLC 6.125% 7/27/2027 (b) | 1136000 | 1172342 |
| Reynolds American Inc 5.7% 8/15/2035  | 373000 | 388276 |
| Reynolds American Inc 6.15% 9/15/2043  | 1227000 | 1259471 |
| Reynolds American Inc 7.25% 6/15/2037  | 909000 | 1045989 |
|  |  | 4996843 |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Barclays PLC 5.088% 6/20/2030 (d) | 2253000 | 2283212 |
| Barclays PLC 5.2% 5/12/2026  | 1908000 | 1917072 |
| Barclays PLC 5.829% 5/9/2027 (d) | 2670000 | 2693588 |
| Barclays PLC 6.224% 5/9/2034 (d) | 2277000 | 2449548 |
| Barclays PLC 6.49% 9/13/2029 (d) | 642000 | 679974 |
| Barclays PLC 6.692% 9/13/2034 (d) | 3300000 | 3651133 |
| NatWest Group PLC 3.073% 5/22/2028 (d) | 1427000 | 1401956 |
|  |  | 15076483 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| BAE Systems PLC 3.4% 4/15/2030 (b) | 696000 | 670803 |
| TOTAL UNITED KINGDOM |  | 20744129 |
| UNITED STATES - 19.3%  |  |  |
| Communication Services - 1.6% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| AT&T Inc 2.55% 12/1/2033  | 4584000 | 3903318 |
| AT&T Inc 4.3% 2/15/2030  | 859000 | 860870 |
| AT&T Inc 4.75% 5/15/2046  | 4816000 | 4300561 |
| Verizon Communications Inc 2.55% 3/21/2031  | 1698000 | 1543839 |
| Verizon Communications Inc 4.78% 2/15/2035  | 2099000 | 2064811 |
|  |  | 12673399 |
| Entertainment - 0.3% |  |  |
| Walt Disney Co/The 3.8% 3/22/2030  | 7061000 | 6982085 |
| Walt Disney Co/The 4.7% 3/23/2050  | 2229000 | 2033885 |
|  |  | 9015970 |
| Media - 0.8% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.25% 1/15/2029  | 1100000 | 1023045 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  | 369000 | 315717 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  | 1073000 | 1017739 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.8% 3/1/2050  | 816000 | 646297 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 850000 | 861128 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  | 5834000 | 5042522 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  | 1073000 | 899169 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 1545000 | 1621313 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  | 842000 | 831818 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 1067000 | 1137120 |
| Comcast Corp 2.937% 11/1/2056  | 2100000 | 1246161 |
| Comcast Corp 3.9% 3/1/2038  | 329000 | 289620 |
| Comcast Corp 4.65% 7/15/2042  | 779000 | 706940 |
| Time Warner Cable LLC 4.5% 9/15/2042  | 283000 | 227384 |
| Time Warner Cable LLC 5.5% 9/1/2041  | 521000 | 477466 |
| Time Warner Cable LLC 5.875% 11/15/2040  | 460000 | 439702 |
| Time Warner Cable LLC 6.55% 5/1/2037  | 6199000 | 6448582 |
| Time Warner Cable LLC 7.3% 7/1/2038  | 1160000 | 1267522 |
|  |  | 24499245 |
| Wireless Telecommunication Services - 0.1% |  |  |
| T-Mobile USA Inc 3.75% 4/15/2027  | 1871000 | 1859877 |
| T-Mobile USA Inc 3.875% 4/15/2030  | 2705000 | 2652492 |
| T-Mobile USA Inc 4.375% 4/15/2040  | 404000 | 364787 |
| T-Mobile USA Inc 4.5% 4/15/2050  | 793000 | 667087 |
|  |  | 5544243 |
| TOTAL COMMUNICATION SERVICES |  | 51732857 |
| Consumer Discretionary - 0.1% |  |  |
| Automobiles - 0.0% |  |  |
| General Motors Financial Co Inc 5.85% 4/6/2030  | 953000 | 996728 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| McDonald's Corp 3.5% 7/1/2027  | 517000 | 512955 |
| McDonald's Corp 3.6% 7/1/2030  | 615000 | 600498 |
|  |  | 1113453 |
| Specialty Retail - 0.1% |  |  |
| AutoNation Inc 4.75% 6/1/2030  | 234000 | 235285 |
| AutoZone Inc 4% 4/15/2030  | 1629000 | 1608029 |
| Lowe's Cos Inc 3.35% 4/1/2027  | 211000 | 208938 |
| Lowe's Cos Inc 3.75% 4/1/2032  | 649000 | 620797 |
| Lowe's Cos Inc 4.25% 4/1/2052  | 694000 | 560380 |
| Lowe's Cos Inc 4.5% 4/15/2030  | 1170000 | 1185336 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  | 361000 | 359723 |
|  |  | 4778488 |
| TOTAL CONSUMER DISCRETIONARY |  | 6888669 |
| Consumer Staples - 0.5% |  |  |
| Beverages - 0.1% |  |  |
| Molson Coors Beverage Co 3% 7/15/2026  | 2300000 | 2279670 |
| Consumer Staples Distribution & Retail - 0.3% |  |  |
| Mars Inc 4.8% 3/1/2030 (b) | 2106000 | 2145545 |
| Mars Inc 5% 3/1/2032 (b) | 1581000 | 1617470 |
| Mars Inc 5.2% 3/1/2035 (b) | 1314000 | 1343087 |
| Mars Inc 5.65% 5/1/2045 (b) | 1278000 | 1296437 |
| Mars Inc 5.7% 5/1/2055 (b) | 2548000 | 2580987 |
|  |  | 8983526 |
| Food Products - 0.0% |  |  |
| General Mills Inc 2.875% 4/15/2030  | 220000 | 206479 |
| Tobacco - 0.1% |  |  |
| Altria Group Inc 4.25% 8/9/2042  | 1696000 | 1427015 |
| Altria Group Inc 4.5% 5/2/2043  | 1137000 | 980542 |
| Altria Group Inc 4.8% 2/14/2029  | 311000 | 315820 |
| Altria Group Inc 5.95% 2/14/2049  | 407000 | 415945 |
|  |  | 3139322 |
| TOTAL CONSUMER STAPLES |  | 14608997 |
| Energy - 1.5% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Halliburton Co 3.8% 11/15/2025  | 18000 | 17980 |
| Halliburton Co 4.85% 11/15/2035  | 661000 | 651008 |
|  |  | 668988 |
| Oil, Gas & Consumable Fuels - 1.5% |  |  |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (b) | 394000 | 416834 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (b) | 1061000 | 1132126 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (b) | 317000 | 338094 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (b) | 571000 | 612490 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (b) | 342000 | 374924 |
| DCP Midstream Operating LP 5.6% 4/1/2044  | 376000 | 364848 |
| DCP Midstream Operating LP 6.45% 11/3/2036 (b) | 760000 | 801836 |
| DCP Midstream Operating LP 6.75% 9/15/2037 (b) | 1037000 | 1128206 |
| Energy Transfer LP 3.75% 5/15/2030  | 710000 | 689460 |
| Energy Transfer LP 5% 5/15/2050  | 742000 | 635154 |
| Energy Transfer LP 5.25% 4/15/2029  | 629000 | 647155 |
| Energy Transfer LP 5.4% 10/1/2047  | 84000 | 76889 |
| Energy Transfer LP 5.8% 6/15/2038  | 692000 | 703883 |
| Enterprise Products Operating LLC 3.7% 2/15/2026  | 1472000 | 1468783 |
| Hess Corp 4.3% 4/1/2027  | 1500000 | 1504953 |
| Hess Corp 7.125% 3/15/2033  | 308000 | 357428 |
| Hess Corp 7.3% 8/15/2031  | 411000 | 473254 |
| Hess Corp 7.875% 10/1/2029  | 1346000 | 1526294 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  | 141000 | 153065 |
| Kinder Morgan Inc 5.55% 6/1/2045  | 747000 | 725561 |
| MPLX LP 4.8% 2/15/2029  | 345000 | 349801 |
| MPLX LP 4.95% 9/1/2032  | 2116000 | 2122704 |
| MPLX LP 5.5% 2/15/2049  | 1036000 | 964469 |
| Occidental Petroleum Corp 6.2% 3/15/2040  | 521000 | 529524 |
| Occidental Petroleum Corp 6.45% 9/15/2036  | 1412000 | 1500486 |
| Occidental Petroleum Corp 6.6% 3/15/2046  | 1751000 | 1830632 |
| Occidental Petroleum Corp 7.5% 5/1/2031  | 2356000 | 2646247 |
| ONEOK Inc 4.25% 9/24/2027  | 752000 | 752814 |
| ONEOK Inc 4.4% 10/15/2029  | 786000 | 785436 |
| ONEOK Inc 4.75% 10/15/2031  | 1529000 | 1529490 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 405000 | 391036 |
| Plains All American Pipeline LP / PAA Finance Corp 4.7% 1/15/2031  | 1973000 | 1977200 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  | 2447000 | 2455536 |
| Targa Resources Corp 4.9% 9/15/2030  | 1131000 | 1148788 |
| Targa Resources Corp 5.65% 2/15/2036  | 2723000 | 2788117 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  | 312000 | 297492 |
| Transcontinental Gas Pipe Line Co LLC 3.95% 5/15/2050  | 1007000 | 788811 |
| Western Gas Partners LP 4.5% 3/1/2028  | 613000 | 613919 |
| Western Gas Partners LP 4.65% 7/1/2026  | 2778000 | 2780439 |
| Western Gas Partners LP 4.75% 8/15/2028  | 354000 | 357019 |
| Western Gas Partners LP 6.35% 1/15/2029  | 978000 | 1028892 |
| Williams Cos Inc/The 3.5% 11/15/2030  | 2609000 | 2493650 |
| Williams Cos Inc/The 4.65% 8/15/2032  | 2206000 | 2202941 |
| Williams Cos Inc/The 5.3% 8/15/2052  | 500000 | 469266 |
|  |  | 46935946 |
| TOTAL ENERGY |  | 47604934 |
| Financials - 9.8% |  |  |
| Banks - 4.8% |  |  |
| Bank of America Corp 2.299% 7/21/2032 (d) | 4656000 | 4129884 |
| Bank of America Corp 3.419% 12/20/2028 (d) | 5817000 | 5728251 |
| Bank of America Corp 4.25% 10/22/2026  | 1307000 | 1308735 |
| Bank of America Corp 4.45% 3/3/2026  | 465000 | 465308 |
| Bank of America Corp 4.623% 5/9/2029 (d) | 5903000 | 5976134 |
| Bank of America Corp 5.015% 7/22/2033 (d) | 17054000 | 17425218 |
| Bank of America Corp 5.468% 1/23/2035 (d) | 1410000 | 1472366 |
| Citigroup Inc 4.3% 11/20/2026  | 532000 | 532844 |
| Citigroup Inc 4.412% 3/31/2031 (d) | 3258000 | 3252510 |
| Citigroup Inc 4.45% 9/29/2027  | 5245000 | 5266349 |
| Citigroup Inc 4.6% 3/9/2026  | 673000 | 674044 |
| Citigroup Inc 4.91% 5/24/2033 (d) | 3492000 | 3534198 |
| Citigroup Inc 6.174% 5/25/2034 (d) | 1574000 | 1674757 |
| Citigroup Inc 6.27% 11/17/2033 (d) | 7000000 | 7639561 |
| Citizens Financial Group Inc 2.638% 9/30/2032  | 1490000 | 1272994 |
| Citizens Financial Group Inc 5.841% 1/23/2030 (d) | 9000000 | 9380549 |
| Fifth Third Bancorp 4.895% 9/6/2030 (d) | 3000000 | 3048547 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (d) | 1324000 | 1241744 |
| JPMorgan Chase & Co 4.493% 3/24/2031 (d) | 3926000 | 3962856 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (d) | 12887000 | 12927126 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (d) | 5229000 | 5332047 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (d) | 2202000 | 2274930 |
| JPMorgan Chase & Co 5.14% 1/24/2031 (d) | 4500000 | 4647289 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (d) | 2615000 | 2756275 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (d) | 2500000 | 2643815 |
| Morgan Stanley Private Bank NA 4.734% 7/18/2031 (d) | 9448000 | 9589090 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (d) | 1754000 | 1711486 |
| Santander Holdings USA Inc 6.499% 3/9/2029 (d) | 2600000 | 2712714 |
| Wells Fargo & Co 3.526% 3/24/2028 (d) | 2893000 | 2867181 |
| Wells Fargo & Co 4.478% 4/4/2031 (d) | 4386000 | 4410007 |
| Wells Fargo & Co 4.897% 7/25/2033 (d) | 5000000 | 5079643 |
| Wells Fargo & Co 5.15% 4/23/2031 (d) | 8981000 | 9262114 |
| Wells Fargo & Co 5.244% 1/24/2031 (d) | 4173000 | 4317418 |
| Wells Fargo & Co 5.499% 1/23/2035 (d) | 1539000 | 1605316 |
| Wells Fargo & Co 5.605% 4/23/2036 (d) | 2633000 | 2763205 |
|  |  | 152886505 |
| Capital Markets - 2.8% |  |  |
| Ares Strategic Income Fund 5.45% 9/9/2028 (b) | 1840000 | 1854353 |
| Ares Strategic Income Fund 5.7% 3/15/2028  | 8922000 | 9047117 |
| Ares Strategic Income Fund 5.8% 9/9/2030 (b) | 1489000 | 1513141 |
| Athene Global Funding 5.339% 1/15/2027 (b) | 4132000 | 4189350 |
| Athene Global Funding 5.583% 1/9/2029 (b) | 2079000 | 2148626 |
| Blackstone Private Credit Fund 7.3% 11/27/2028  | 3100000 | 3311334 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (d) | 2893000 | 2581999 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (d) | 4837000 | 4437363 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (d) | 12774000 | 12682128 |
| Goldman Sachs Group Inc/The 3.8% 3/15/2030  | 4751000 | 4675861 |
| Goldman Sachs Group Inc/The 4.25% 10/21/2025  | 696000 | 695541 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  | 689000 | 771955 |
| HPS Corporate Lending Fund 5.45% 1/14/2028  | 5651000 | 5702386 |
| Moody's Corp 3.25% 1/15/2028  | 732000 | 719856 |
| Morgan Stanley 3.622% 4/1/2031 (d) | 3078000 | 2986594 |
| Morgan Stanley 3.625% 1/20/2027  | 3374000 | 3362091 |
| Morgan Stanley 4.431% 1/23/2030 (d) | 1348000 | 1354453 |
| Morgan Stanley 4.889% 7/20/2033 (d) | 6522000 | 6622400 |
| Morgan Stanley 5.192% 4/17/2031 (d) | 1996000 | 2061055 |
| Morgan Stanley 5.25% 4/21/2034 (d) | 2830000 | 2918363 |
| Morgan Stanley 5.424% 7/21/2034 (d) | 3524000 | 3671660 |
| Morgan Stanley 5.664% 4/17/2036 (d) | 1583000 | 1670160 |
| Morgan Stanley 6.296% 10/18/2028 (d) | 2500000 | 2605222 |
| Morgan Stanley 6.342% 10/18/2033 (d) | 5000000 | 5495207 |
| MSCI Inc 5.25% 9/1/2035  | 1872000 | 1887498 |
| Sixth Street Specialty Lending Inc 6.125% 3/1/2029  | 1118000 | 1152051 |
|  |  | 90117764 |
| Consumer Finance - 0.8% |  |  |
| Ally Financial Inc 6.7% 2/14/2033  | 1282000 | 1335381 |
| Ally Financial Inc 7.1% 11/15/2027  | 2560000 | 2694221 |
| Ally Financial Inc 8% 11/1/2031  | 512000 | 583664 |
| Capital One Financial Corp 3.273% 3/1/2030 (d) | 1912000 | 1842613 |
| Capital One Financial Corp 3.65% 5/11/2027  | 4134000 | 4101090 |
| Capital One Financial Corp 3.8% 1/31/2028  | 2165000 | 2148244 |
| Capital One Financial Corp 4.1% 2/9/2027  | 875000 | 873546 |
| Capital One Financial Corp 4.5% 1/30/2026  | 1437000 | 1437304 |
| Capital One Financial Corp 4.927% 5/10/2028 (d) | 2300000 | 2323688 |
| Capital One Financial Corp 5.247% 7/26/2030 (d) | 2770000 | 2847251 |
| Capital One Financial Corp 5.468% 2/1/2029 (d) | 1952000 | 2001802 |
| Capital One Financial Corp 5.817% 2/1/2034 (d) | 2680000 | 2810536 |
| Synchrony Financial 3.95% 12/1/2027  | 2356000 | 2329005 |
|  |  | 27328345 |
| Financial Services - 0.6% |  |  |
| Corebridge Financial Inc 3.65% 4/5/2027  | 2280000 | 2260432 |
| Corebridge Financial Inc 3.85% 4/5/2029  | 904000 | 890104 |
| Corebridge Financial Inc 3.9% 4/5/2032  | 1076000 | 1027365 |
| Corebridge Financial Inc 4.35% 4/5/2042  | 245000 | 211489 |
| Corebridge Financial Inc 4.4% 4/5/2052  | 724000 | 598091 |
| Corebridge Global Funding 4.9% 12/3/2029 (b) | 3000000 | 3060823 |
| Corebridge Global Funding 5.9% 9/19/2028 (b) | 1659000 | 1735494 |
| Equitable Holdings Inc 4.35% 4/20/2028  | 433000 | 434486 |
| Equitable Holdings Inc 4.572% 2/15/2029 (b) | 450000 | 451903 |
| Jackson Financial Inc 3.125% 11/23/2031  | 273000 | 246497 |
| Jackson Financial Inc 5.17% 6/8/2027  | 1014000 | 1026386 |
| Jackson Financial Inc 5.67% 6/8/2032  | 1092000 | 1133399 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032  | 3400000 | 3041892 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3.625% 1/15/2032  | 320000 | 298292 |
| Pine Street Trust II 5.568% 2/15/2049 (b) | 1748000 | 1657524 |
| Sixth Street Lending Partners 6.125% 7/15/2030 (b) | 1928000 | 1993310 |
|  |  | 20067487 |
| Insurance - 0.8% |  |  |
| Five Corners Funding Trust II 2.85% 5/15/2030 (b) | 3419000 | 3202659 |
| Liberty Mutual Group Inc 4.569% 2/1/2029 (b) | 1255000 | 1263134 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  | 1220000 | 1230901 |
| Marsh & McLennan Cos Inc 4.75% 3/15/2039  | 560000 | 539418 |
| Massachusetts Mutual Life Insurance Co 3.729% 10/15/2070 (b) | 1782000 | 1198490 |
| MetLife Inc 5.3% 12/15/2034  | 4063000 | 4226056 |
| Pacific LifeCorp 5.125% 1/30/2043 (b) | 1611000 | 1538250 |
| Reinsurance Group of America Inc 6% 9/15/2033  | 3764000 | 4024479 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/2044 (b) | 1640000 | 1515403 |
| Unum Group 3.875% 11/5/2025  | 1491000 | 1489465 |
| Unum Group 4% 6/15/2029  | 1353000 | 1335632 |
| Unum Group 4.046% 8/15/2041 (b) | 101000 | 82438 |
| Unum Group 5.75% 8/15/2042  | 2118000 | 2116588 |
| Western-Southern Global Funding 4.9% 5/1/2030 (b) | 871000 | 889907 |
|  |  | 24652820 |
| TOTAL FINANCIALS |  | 315052921 |
| Health Care - 1.0% |  |  |
| Biotechnology - 0.0% |  |  |
| Amgen Inc 5.15% 3/2/2028  | 1463000 | 1497154 |
| Health Care Providers & Services - 0.9% |  |  |
| Centene Corp 2.45% 7/15/2028  | 3009000 | 2796062 |
| Centene Corp 2.625% 8/1/2031  | 1403000 | 1205212 |
| Centene Corp 3.375% 2/15/2030  | 1564000 | 1438390 |
| Centene Corp 4.25% 12/15/2027  | 1762000 | 1730315 |
| Centene Corp 4.625% 12/15/2029  | 2738000 | 2654152 |
| Cigna Group/The 3.05% 10/15/2027  | 982000 | 957860 |
| Cigna Group/The 4.375% 10/15/2028  | 1860000 | 1869785 |
| Cigna Group/The 4.8% 8/15/2038  | 1158000 | 1105010 |
| Cigna Group/The 4.9% 12/15/2048  | 1157000 | 1038630 |
| CVS Health Corp 3% 8/15/2026  | 192000 | 190003 |
| CVS Health Corp 3.625% 4/1/2027  | 551000 | 546287 |
| CVS Health Corp 4.78% 3/25/2038  | 1830000 | 1715144 |
| CVS Health Corp 5% 1/30/2029  | 1114000 | 1135893 |
| CVS Health Corp 5% 9/15/2032  | 916000 | 927209 |
| CVS Health Corp 5.25% 1/30/2031  | 457000 | 470375 |
| HCA Inc 3.5% 9/1/2030  | 1260000 | 1203504 |
| HCA Inc 3.625% 3/15/2032  | 287000 | 269250 |
| HCA Inc 5.625% 9/1/2028  | 1311000 | 1352911 |
| HCA Inc 5.875% 2/1/2029  | 1446000 | 1505514 |
| Humana Inc 3.7% 3/23/2029  | 827000 | 808172 |
| Sabra Health Care LP 3.2% 12/1/2031  | 2870000 | 2606032 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  | 647000 | 664548 |
|  |  | 28190258 |
| Pharmaceuticals - 0.1% |  |  |
| Elanco Animal Health Inc 6.65% 8/28/2028 (d) | 409000 | 425306 |
| Mylan Inc 4.55% 4/15/2028  | 1227000 | 1222215 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  | 472000 | 469868 |
|  |  | 2117389 |
| TOTAL HEALTH CARE |  | 31804801 |
| Industrials - 0.5% |  |  |
| Aerospace & Defense - 0.3% |  |  |
| Boeing Co 5.04% 5/1/2027  | 909000 | 918738 |
| Boeing Co 5.15% 5/1/2030  | 909000 | 932775 |
| Boeing Co 5.705% 5/1/2040  | 920000 | 938752 |
| Boeing Co 5.805% 5/1/2050  | 920000 | 919139 |
| Boeing Co 5.93% 5/1/2060  | 908000 | 907088 |
| Boeing Co 6.259% 5/1/2027  | 645000 | 663652 |
| Boeing Co 6.298% 5/1/2029  | 827000 | 877651 |
| Boeing Co 6.388% 5/1/2031  | 626000 | 681786 |
| Boeing Co 6.528% 5/1/2034  | 670000 | 740662 |
| Boeing Co 6.858% 5/1/2054  | 1009000 | 1150970 |
| Boeing Co 7.008% 5/1/2064  | 952000 | 1102086 |
|  |  | 9833299 |
| Building Products - 0.0% |  |  |
| Carrier Global Corp 5.9% 3/15/2034  | 262000 | 281137 |
| Carrier Global Corp 6.2% 3/15/2054  | 163000 | 176745 |
|  |  | 457882 |
| Ground Transportation - 0.1% |  |  |
| Uber Technologies Inc 4.15% 1/15/2031  | 1514000 | 1500173 |
| Uber Technologies Inc 4.8% 9/15/2035  | 1194000 | 1183168 |
|  |  | 2683341 |
| Professional Services - 0.1% |  |  |
| Paychex Inc 5.1% 4/15/2030  | 271000 | 278868 |
| Paychex Inc 5.35% 4/15/2032  | 377000 | 391191 |
| Paychex Inc 5.6% 4/15/2035  | 294000 | 307783 |
| Verisk Analytics Inc 4.5% 8/15/2030  | 758000 | 760276 |
| Verisk Analytics Inc 5.125% 2/15/2036  | 1704000 | 1719758 |
|  |  | 3457876 |
| TOTAL INDUSTRIALS |  | 16432398 |
| Information Technology - 1.0% |  |  |
| Electronic Equipment, Instruments & Components - 0.3% |  |  |
| Dell International LLC / EMC Corp 4.15% 2/15/2029 (e) | 1523000 | 1519355 |
| Dell International LLC / EMC Corp 4.5% 2/15/2031 (e) | 3015000 | 3008030 |
| Dell International LLC / EMC Corp 4.75% 10/6/2032 (e) | 2010000 | 2001015 |
| Dell International LLC / EMC Corp 5.1% 2/15/2036 (e) | 3190000 | 3172207 |
| Dell International LLC / EMC Corp 6.1% 7/15/2027  | 729000 | 751512 |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  | 631000 | 676854 |
|  |  | 11128973 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |
| Broadcom Inc 1.95% 2/15/2028 (b) | 510000 | 485883 |
| Broadcom Inc 2.45% 2/15/2031 (b) | 4340000 | 3947285 |
| Broadcom Inc 2.6% 2/15/2033 (b) | 4340000 | 3809952 |
| Broadcom Inc 3.419% 4/15/2033 (b) | 392000 | 362786 |
| Broadcom Inc 3.5% 2/15/2041 (b) | 3113000 | 2561772 |
| Broadcom Inc 4.926% 5/15/2037 (b) | 1645000 | 1640588 |
|  |  | 12808266 |
| Software - 0.3% |  |  |
| Oracle Corp 4.45% 9/26/2030  | 1146000 | 1145438 |
| Oracle Corp 4.8% 9/26/2032  | 1911000 | 1913298 |
| Oracle Corp 5.2% 9/26/2035  | 1740000 | 1749581 |
| Oracle Corp 5.875% 9/26/2045  | 1073000 | 1075912 |
| Oracle Corp 5.95% 9/26/2055  | 1345000 | 1340863 |
| Oracle Corp 6.1% 9/26/2065  | 1384000 | 1381451 |
|  |  | 8606543 |
| TOTAL INFORMATION TECHNOLOGY |  | 32543782 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Celanese US Holdings LLC 6.85% 11/15/2028 (d) | 1381000 | 1433106 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (d) | 1399000 | 1444094 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (d) | 817000 | 849355 |
|  |  | 3726555 |
| Real Estate - 2.3% |  |  |
| Diversified REITs - 0.4% |  |  |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  | 451000 | 384223 |
| Store Capital LLC 2.75% 11/18/2030  | 2676000 | 2432545 |
| Store Capital LLC 4.625% 3/15/2029  | 550000 | 546262 |
| VICI Properties LP 4.75% 2/15/2028  | 2029000 | 2046059 |
| VICI Properties LP 4.75% 4/1/2028  | 496000 | 501171 |
| VICI Properties LP 4.95% 2/15/2030  | 2648000 | 2678714 |
| VICI Properties LP 5.125% 5/15/2032  | 720000 | 727087 |
| VICI Properties LP 5.75% 4/1/2034  | 374000 | 388372 |
| Vornado Realty LP 2.15% 6/1/2026  | 578000 | 567409 |
| WP Carey Inc 2.4% 2/1/2031  | 1166000 | 1045416 |
| WP Carey Inc 3.85% 7/15/2029  | 391000 | 384842 |
|  |  | 11702100 |
| Health Care REITs - 0.8% |  |  |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  | 1278000 | 1301150 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  | 402000 | 378228 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  | 419000 | 415986 |
| Healthpeak OP LLC 3.25% 7/15/2026  | 176000 | 174735 |
| Healthpeak OP LLC 3.5% 7/15/2029  | 201000 | 194836 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  | 1822000 | 1607561 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  | 810000 | 751651 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  | 1814000 | 1740471 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027  | 4967000 | 4980805 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  | 1958000 | 1974268 |
| Omega Healthcare Investors Inc 5.25% 1/15/2026  | 1744000 | 1744454 |
| Ventas Realty LP 3% 1/15/2030  | 2340000 | 2215199 |
| Ventas Realty LP 4% 3/1/2028  | 688000 | 684846 |
| Ventas Realty LP 4.125% 1/15/2026  | 478000 | 477001 |
| Ventas Realty LP 4.375% 2/1/2045  | 234000 | 197373 |
| Ventas Realty LP 4.75% 11/15/2030  | 3072000 | 3109692 |
|  |  | 21948256 |
| Industrial REITs - 0.0% |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  | 560000 | 511680 |
| Office REITs - 0.2% |  |  |
| Boston Properties LP 3.25% 1/30/2031  | 1190000 | 1106597 |
| Boston Properties LP 4.5% 12/1/2028  | 1193000 | 1192188 |
| Boston Properties LP 6.75% 12/1/2027  | 1655000 | 1735936 |
| COPT Defense Properties LP 2% 1/15/2029  | 199000 | 184400 |
| COPT Defense Properties LP 2.25% 3/15/2026  | 510000 | 504800 |
| COPT Defense Properties LP 2.75% 4/15/2031  | 509000 | 460790 |
| COPT Defense Properties LP 4.5% 10/15/2030  | 305000 | 302989 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  | 2374000 | 2209148 |
|  |  | 7696848 |
| Real Estate Management & Development - 0.3% |  |  |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  | 1415000 | 1388624 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  | 1792000 | 1712186 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  | 2334000 | 2474535 |
| CBRE Services Inc 2.5% 4/1/2031  | 1708000 | 1544173 |
| Tanger Properties LP 2.75% 9/1/2031  | 1346000 | 1206005 |
| Tanger Properties LP 3.125% 9/1/2026  | 1874000 | 1852541 |
|  |  | 10178064 |
| Residential REITs - 0.3% |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  | 231000 | 204632 |
| American Homes 4 Rent LP 3.625% 4/15/2032  | 989000 | 925506 |
| American Homes 4 Rent LP 5.5% 7/15/2034  | 3001000 | 3092424 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  | 1453000 | 1404663 |
| Invitation Homes Operating Partnership LP 4.95% 1/15/2033  | 3959000 | 3978210 |
| Sun Communities Operating LP 2.3% 11/1/2028  | 512000 | 484086 |
| Sun Communities Operating LP 2.7% 7/15/2031  | 1323000 | 1196701 |
|  |  | 11286222 |
| Retail REITs - 0.3% |  |  |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  | 1554000 | 1521156 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  | 1549000 | 1535609 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  | 1425000 | 1422600 |
| Kite Realty Group Trust 4.75% 9/15/2030  | 2980000 | 2988453 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  | 473000 | 492138 |
| Realty Income Corp 2.2% 6/15/2028  | 244000 | 232550 |
| Realty Income Corp 2.85% 12/15/2032  | 301000 | 268600 |
| Realty Income Corp 3.25% 1/15/2031  | 313000 | 296286 |
| Realty Income Corp 3.4% 1/15/2028  | 489000 | 482018 |
| Simon Property Group LP 2.45% 9/13/2029  | 499000 | 468459 |
|  |  | 9707869 |
| TOTAL REAL ESTATE |  | 73031039 |
| Utilities - 1.0% |  |  |
| Electric Utilities - 0.7% |  |  |
| Alabama Power Co 3.05% 3/15/2032  | 2030000 | 1874018 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  | 1057000 | 987649 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 4043000 | 4018926 |
| Consolidated Edison Co of New York Inc 3.35% 4/1/2030  | 242000 | 234317 |
| Duke Energy Corp 2.45% 6/1/2030  | 854000 | 785967 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (b) | 405000 | 364004 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (b) | 1402000 | 1241918 |
| Exelon Corp 2.75% 3/15/2027  | 449000 | 440167 |
| Exelon Corp 3.35% 3/15/2032  | 546000 | 510064 |
| Exelon Corp 4.05% 4/15/2030  | 534000 | 528219 |
| Exelon Corp 4.7% 4/15/2050  | 238000 | 205467 |
| FirstEnergy Transmission LLC 4.75% 1/15/2033 (b) | 5826000 | 5814610 |
| Southern Co/The 4.85% 3/15/2035  | 1930000 | 1910203 |
| Southern Co/The 5.7% 3/15/2034  | 2053000 | 2168284 |
|  |  | 21083813 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| AES Corp/The 2.45% 1/15/2031  | 673000 | 602699 |
| AES Corp/The 3.95% 7/15/2030 (b) | 2298000 | 2219014 |
|  |  | 2821713 |
| Multi-Utilities - 0.2% |  |  |
| NiSource Inc 2.95% 9/1/2029  | 2624000 | 2503168 |
| NiSource Inc 3.6% 5/1/2030  | 1602000 | 1551307 |
| Puget Energy Inc 4.1% 6/15/2030  | 1032000 | 1007849 |
| Puget Energy Inc 4.224% 3/15/2032  | 1875000 | 1795650 |
|  |  | 6857974 |
| TOTAL UTILITIES |  | 30763500 |
| TOTAL UNITED STATES |  | 624190453 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $741,817,094) |  | <br> **731583030** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 19.9%  |  |  |
| Fannie Mae 2.5% 1/1/2052  | 247815 | 210489 |
| Fannie Mae 2.5% 4/1/2052  | 1335991 | 1143949 |
| Fannie Mae 2.5% 6/1/2052  | 793431 | 682106 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (c)(d) | 710 | 725 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (c)(d) | 834 | 857 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.646%, 6.396% 5/1/2036 (c)(d) | 9954 | 10257 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.667%, 6.493% 11/1/2036 (c)(d) | 11687 | 12028 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.563% 6/1/2042 (c)(d) | 9872 | 10278 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.695% 7/1/2035 (c)(d) | 898 | 924 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.788%, 6.788% 2/1/2036 (c)(d) | 5424 | 5601 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.478% 7/1/2041 (c)(d) | 2474 | 2581 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.505% 7/1/2041 (c)(d) | 5136 | 5364 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.318% 9/1/2041 (c)(d) | 4468 | 4666 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.82%, 6.695% 12/1/2035 (c)(d) | 5850 | 6044 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 7.33% 10/1/2041 (c)(d) | 1480 | 1530 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.95%, 6.785% 9/1/2036 (c)(d) | 10638 | 11041 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (c)(d) | 3722 | 3870 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 1.945%, 5.944% 10/1/2033 (c)(d) | 14251 | 14524 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (c)(d) | 1165 | 1193 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.224%, 6.508% 8/1/2036 (c)(d) | 17736 | 18154 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.277%, 7.235% 10/1/2033 (c)(d) | 1580 | 1618 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.463%, 6.71% 5/1/2035 (c)(d) | 2019 | 2070 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 571770 | 514121 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 95315 | 80598 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 1227676 | 1103896 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 1168527 | 1050710 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 632914 | 569101 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 12259 | 11023 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 92025 | 77935 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 1705851 | 1429728 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 1207576 | 1085822 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 12728 | 11445 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 93378 | 79019 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 284340 | 255672 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 14243 | 12807 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 13433 | 12079 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 97240 | 82162 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 156849 | 140789 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 16666 | 14960 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 99306 | 83807 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 344734 | 309438 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 17281 | 15511 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 14855 | 13334 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 18857 | 16927 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 808596 | 622099 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 198632 | 161990 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 4545335 | 3723904 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 1982251 | 1616587 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 307755 | 249541 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 64424 | 52460 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 1491515 | 1294364 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 1493488 | 1294332 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 179234 | 147795 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 1308988 | 1073247 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 967816 | 796845 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 2374401 | 2077399 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 695265 | 603373 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 553389 | 480173 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 312841 | 271362 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 132170 | 108119 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 137384 | 120479 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 14679 | 12834 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  | 737778 | 639070 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 727611 | 592480 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 3133810 | 2567470 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 767920 | 628182 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 534388 | 437814 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 297742 | 244865 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15671 | 13683 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 1506184 | 1227398 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 16457 | 13406 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 4684396 | 3815876 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 724975 | 590333 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 270178 | 221690 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 16056 | 14011 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 17191 | 14009 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 446352 | 366664 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 402137 | 329966 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 46553 | 40812 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 33617 | 29466 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 17201 | 14976 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 443948 | 387732 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 4643921 | 3785808 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 168046 | 138045 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 146298 | 119814 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 59620 | 48789 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 47181 | 38684 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 33076 | 26923 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 722760 | 628591 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 72166 | 58903 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041  | 472058 | 409810 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 22756 | 21869 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 501987 | 446682 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 455606 | 388406 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 210426 | 180770 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 169033 | 145211 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 114990 | 98784 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2039  | 92727 | 84167 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2041  | 376580 | 338088 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 2626652 | 2261395 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 142481 | 121867 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 26686 | 25657 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 1910448 | 1797794 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2040  | 320552 | 288997 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 202540 | 180793 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 131713 | 117689 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1841967 | 1577768 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1283907 | 1097345 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 974878 | 833220 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1230747 | 1051910 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 735555 | 630052 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 665220 | 569597 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 47537 | 45105 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 282188 | 253466 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 120805 | 103780 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 87955 | 79430 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 412793 | 352424 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 483554 | 413743 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 266023 | 238868 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 1028217 | 886521 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 555157 | 469804 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 512865 | 438662 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 405460 | 348064 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 63940 | 57765 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 107208 | 96469 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1207484 | 1038064 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2033  | 18782 | 18026 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2050  | 365807 | 315168 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2031  | 1719695 | 1663541 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 398187 | 357618 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 181347 | 162557 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2039  | 20066 | 18221 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2041  | 636558 | 571526 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2036  | 38668 | 36412 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 172829 | 154587 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 58219 | 56348 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 59221 | 54700 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 56545 | 52272 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 47405 | 43733 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 22957 | 21367 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 14249 | 13236 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 11234 | 10355 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 11139 | 10304 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10147 | 9352 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8399 | 7757 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8276 | 7669 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7685 | 7105 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7536 | 6970 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 3650 | 3353 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 512931 | 455620 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 610160 | 553998 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 266994 | 239915 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 921542 | 817135 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 10516 | 10236 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 18032 | 16576 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 9154 | 8479 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 8113 | 7547 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7679 | 7190 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7040 | 6466 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 773252 | 702078 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 753513 | 684156 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 101798 | 90424 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 1184232 | 1054227 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 730931 | 651318 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 141701 | 137897 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 131386 | 127000 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 59843 | 55305 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 35162 | 32523 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 25264 | 23347 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 24792 | 22929 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 24293 | 22352 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 23113 | 21377 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 21633 | 19947 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 10373 | 9671 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 7935 | 7339 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6879 | 6364 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5078 | 4662 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 3175 | 2960 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 942441 | 837140 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1014126 | 899230 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 567909 | 505032 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 313994 | 279524 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 381529 | 352217 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 283832 | 262126 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 152199 | 140742 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 136955 | 126479 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 31972 | 29542 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 30675 | 28187 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 21060 | 19396 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 2339 | 2212 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 533622 | 477667 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 790421 | 701426 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 192568 | 187302 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 55331 | 53997 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 31949 | 31061 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 17176 | 16736 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 31179 | 28815 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2044  | 36511 | 33412 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 277001 | 251504 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 3529416 | 3202343 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1343406 | 1192569 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 76147 | 70368 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 65267 | 59775 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 28710 | 26500 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 22962 | 21186 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 20488 | 18897 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 11416 | 10543 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 40793 | 37254 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 3515 | 3232 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 249655 | 226753 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 135610 | 121391 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2033  | 249199 | 241699 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 27784 | 25692 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2045  | 16263 | 14753 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 1834973 | 1641988 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 19982 | 18430 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 19982 | 18285 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 17817 | 16332 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 882168 | 788839 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 175546 | 171011 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 180522 | 166324 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 86326 | 78740 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 34732 | 31648 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 12764 | 11593 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 438114 | 390532 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 37227 | 36265 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 30308 | 29518 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 219047 | 196420 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 71519 | 67832 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 32678 | 30621 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 541771 | 506646 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 484775 | 453194 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 189060 | 176567 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 104024 | 97150 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 68695 | 64113 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 68498 | 63971 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 63554 | 59354 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 15526 | 14500 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 490123 | 451455 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 72423 | 66845 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 617356 | 577331 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 60859 | 56894 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 28066 | 26548 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2046  | 26743 | 25001 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 2390740 | 2233500 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 848519 | 803897 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2035  | 904506 | 885921 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2042  | 31437 | 29840 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 93964 | 88048 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 44091 | 41177 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 150839 | 138844 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 62031 | 58702 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2039  | 4843 | 4690 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 191793 | 182061 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 70683 | 67134 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 41608 | 39439 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 3555 | 3367 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 370307 | 346762 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 308325 | 288721 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 195656 | 183094 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 159177 | 151368 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 118773 | 112839 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 20398 | 19311 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 5968 | 5734 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 110311 | 103228 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 47124 | 44098 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 91890 | 85990 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 60952 | 57038 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 59329 | 55519 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 53856 | 50348 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 1335521 | 1308913 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2037  | 21431 | 20785 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 86745 | 82431 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 93583 | 87486 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 90625 | 84721 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 1018316 | 945932 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 53551 | 50062 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 2597 | 2534 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 11597 | 11339 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 86549 | 84431 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 215146 | 207934 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 2041 | 2004 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 7067 | 6893 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 61107 | 59599 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 7198 | 7013 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 787352 | 759972 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 487922 | 473424 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 9116 | 8802 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 312540 | 297745 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 1052942 | 1004481 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2045  | 2350 | 2289 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 29664 | 28815 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 1986 | 1920 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 922 | 903 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  | 2027 | 1976 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 192996 | 186647 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 17252 | 16658 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 11605 | 11330 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 230029 | 222317 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 10491 | 10126 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 14074 | 14062 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2045  | 29187 | 29058 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 6035 | 6012 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 432025 | 420943 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 21561 | 20990 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 89929 | 90066 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  | 8565 | 8581 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 62230 | 62324 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 61679 | 61446 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 324640 | 316312 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 6942 | 6963 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 197192 | 197466 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 70979 | 70941 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 24196 | 24089 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 22867 | 22766 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 10437 | 10391 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 7121 | 7103 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 16463 | 16303 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 448101 | 443048 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 1579795 | 1539270 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  | 16698 | 16662 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 2360 | 2361 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 170658 | 170014 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2040  | 906 | 908 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 153177 | 153441 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 10482 | 10397 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2029  | 297 | 297 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 689206 | 691518 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 118516 | 118911 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 26500 | 26515 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 52055 | 51986 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 24188 | 24178 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 16065 | 15979 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 26495 | 26196 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 288472 | 291259 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 30063 | 30027 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 183436 | 181539 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 32655 | 32318 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2038  | 25651 | 25699 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 144194 | 142703 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 28172 | 28260 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 12670 | 12710 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 5692 | 5710 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037  | 4007 | 4015 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 13302 | 13321 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 5374 | 5381 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 26300 | 26200 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 19204 | 19132 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 513208 | 505015 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 1846923 | 1801278 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 30661 | 30761 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 14959 | 15009 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 11431 | 11469 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 6229 | 6248 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 68017 | 68244 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044  | 33845 | 33717 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 678526 | 670663 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2052  | 716109 | 698411 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 161228 | 164301 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 79813 | 80201 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 1281490 | 1291318 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 683536 | 686856 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 450387 | 452153 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 773225 | 771181 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 460282 | 462374 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 12380 | 12573 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 5940 | 6024 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 9571 | 9741 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 243098 | 247495 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 426091 | 435396 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1475395 | 1507154 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.313%, 5.938% 5/1/2034 (c)(d) | 5669 | 5728 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.42%, 5.998% 9/1/2033 (c)(d) | 14360 | 14501 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.199% 10/1/2033 (c)(d) | 567 | 576 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.206% 7/1/2035 (c)(d) | 789 | 804 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 34103 | 35944 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 34301 | 36216 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  | 3270 | 3455 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 12550 | 13111 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 35398 | 37252 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 276632 | 287444 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 20062 | 20946 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 662508 | 687159 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 255935 | 265938 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 88989 | 92550 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1006310 | 1042181 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 12705 | 13417 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 483630 | 501965 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 258284 | 270572 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 47482 | 50084 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 868406 | 899971 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 2666763 | 2760156 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 490304 | 509965 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 5716 | 6037 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 104382 | 110162 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 1682612 | 1727867 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 54832 | 57147 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 6384623 | 6538387 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 2553 | 2694 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 7700269 | 7885718 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 184605 | 191993 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 183780 | 193446 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 2948 | 3075 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 28966 | 30303 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  | 1387 | 1470 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 175553 | 181769 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 2149930 | 2257287 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 8480 | 8847 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 1622 | 1692 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 3494 | 3663 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 298189 | 312170 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 995141 | 1047865 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 25802 | 26993 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 20330 | 21258 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 4784 | 5009 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 296164 | 311763 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 246424 | 259807 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 552998 | 579229 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 176 | 184 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 217 | 226 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 71 | 74 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 44 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 29 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 151 | 157 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2025  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 266 | 278 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 6 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2027  | 57 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2028  | 79 | 83 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 34 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 3010 | 3147 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 6 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 91 | 91 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 66 | 66 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 24 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 60 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 39 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 10 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2026  | 326 | 327 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 25 | 26 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 8 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 248 | 253 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 175 | 177 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 46 | 47 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 222 | 226 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 62 | 63 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 117 | 122 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 1869 | 1963 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 45 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 12 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 76 | 79 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2026  | 11 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 139 | 141 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 39 | 40 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 51 | 52 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 41 | 41 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2029  | 17 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 33 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 539 | 554 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 52 | 54 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 1095 | 1117 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 136 | 140 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 32 | 32 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2028  | 1050 | 1067 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 72 | 72 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 500 | 521 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 384 | 400 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 97 | 100 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 96 | 99 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 36 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 19 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 8 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 3712 | 3874 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 254 | 266 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 7 | 7 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 566503 | 509385 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 4849744 | 4360768 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 21755 | 19561 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 1192814 | 1072548 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 57679 | 48808 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 16419 | 14764 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 98164 | 82936 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 14020 | 12584 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 99388 | 83974 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 17844 | 16017 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 100563 | 84793 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 10250384 | 7886199 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 18175 | 16314 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 18552 | 16652 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 4088769 | 3685463 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 15273 | 13695 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 1352518 | 1101329 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 278743 | 228368 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 17791 | 15439 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1292490 | 1057296 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 570313 | 494434 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 100978 | 82161 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 2532610 | 2071752 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 760356 | 620094 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 1323658 | 1084447 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 51696 | 42095 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 234115 | 204292 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 2610159 | 2126217 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 1183921 | 968113 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 734761 | 601286 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 135661 | 111441 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 109808 | 96293 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 418448 | 340734 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 244335 | 198041 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 907059 | 746537 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 189860 | 154659 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 103891 | 85246 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 79452 | 64771 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 3711276 | 3025499 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 443163 | 364044 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1636853 | 1431740 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 17117 | 14890 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 58012 | 47565 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 6383269 | 5197771 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 199353 | 177811 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 1142749 | 975985 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 97401 | 87035 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 245591 | 209905 |
| Freddie Mac Gold Pool 2.5% 11/1/2049  | 12669 | 10816 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 2295257 | 1971062 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 127065 | 109554 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 388126 | 334154 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 104284 | 89847 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1272932 | 1089954 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 935614 | 799662 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 214759 | 184693 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 3501518 | 2985060 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 526189 | 453348 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 241340 | 206045 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 3223886 | 2748377 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 717798 | 616636 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 506225 | 435198 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 404803 | 348512 |
| Freddie Mac Gold Pool 2.5% 6/1/2040  | 55419 | 50172 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 2220760 | 1906393 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 536843 | 462526 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 23030 | 22388 |
| Freddie Mac Gold Pool 3% 1/1/2034  | 43954 | 42701 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 57099 | 52840 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 717755 | 636942 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 67915 | 63482 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 16998 | 15727 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 4109 | 3816 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 68405 | 60762 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 659851 | 585557 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 52390 | 51065 |
| Freddie Mac Gold Pool 3% 12/1/2044  | 13647 | 12396 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 1149685 | 1042310 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 559934 | 497371 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 21924 | 21324 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 158951 | 147402 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 31289 | 29069 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 26384 | 24371 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 14904 | 13805 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 7021 | 6475 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 43517 | 42373 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 1342604 | 1191437 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 364945 | 323969 |
| Freddie Mac Gold Pool 3% 4/1/2033  | 20514 | 19970 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 106981 | 103656 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 20387 | 18527 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 16895 | 15354 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 280917 | 251285 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 14144 | 12903 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 11053 | 10095 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 8141 | 7433 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 305104 | 277276 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 48828 | 44374 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 602684 | 535156 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 3421646 | 3041741 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 19671 | 19258 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 7207 | 7056 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 4284 | 4190 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 36223 | 33196 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 13567 | 12436 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 4408 | 4041 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 302619 | 275018 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 980585 | 879295 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 1179602 | 1047156 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 8331 | 8131 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 25195 | 23006 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 8698 | 8102 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 6938 | 6360 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 9772 | 9542 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 6775 | 6612 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 5718 | 5302 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 4401 | 4067 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 18085 | 16495 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 13604 | 12408 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 13172 | 12109 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 8174 | 7498 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 5635 | 5168 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 589583 | 522786 |
| Freddie Mac Gold Pool 3.5% 1/1/2043  | 6881 | 6500 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 17923 | 16782 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 4408 | 4139 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 10639 | 10028 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 63413 | 60242 |
| Freddie Mac Gold Pool 3.5% 10/1/2049  | 1028531 | 956063 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 811691 | 794378 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 10732 | 10514 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 22223 | 20947 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 4938 | 4636 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 91639 | 89930 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 21478 | 20246 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 2426262 | 2382124 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 121526 | 118663 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 510007 | 484239 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 55438 | 52758 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 20685 | 19758 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 3173 | 3005 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 132421 | 122222 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 229539 | 226082 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 31064 | 29263 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 7912 | 7468 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 5922 | 5589 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 174027 | 160188 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 26343 | 25164 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 23167 | 22063 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 419733 | 398170 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 90998 | 86353 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 43149 | 40987 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 247825 | 232362 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 136404 | 127808 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 6610782 | 6058233 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 106668 | 104550 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 51628 | 49349 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 343173 | 322952 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 3645 | 3418 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 3118 | 2965 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 220635 | 207007 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 1090770 | 1073781 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 44676 | 42764 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 413005 | 388956 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 67125 | 63369 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 6811 | 6428 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 6414 | 6052 |
| Freddie Mac Gold Pool 3.5% 6/1/2048  | 6651 | 6190 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 4234 | 4040 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 227540 | 216066 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 31663 | 30134 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 6921 | 6489 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 179807 | 175845 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 28953 | 27655 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 9897 | 9398 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 23139 | 21695 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 718681 | 682060 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 288079 | 273345 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 3433 | 3257 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 94383 | 88771 |
| Freddie Mac Gold Pool 3.5% 9/1/2051  | 1813578 | 1669928 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 257601 | 252106 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 3902 | 3798 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 9596 | 9315 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 4944 | 4823 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 2960 | 2907 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 2053 | 1997 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 24510 | 23848 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 10192 | 9895 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 30308 | 29380 |
| Freddie Mac Gold Pool 4% 10/1/2047  | 22722 | 21874 |
| Freddie Mac Gold Pool 4% 10/1/2047  | 3798 | 3656 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 1134101 | 1083322 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 682671 | 667320 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 21176 | 20660 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 18270 | 17800 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 13178 | 12857 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 6662 | 6485 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 644 | 636 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 114876 | 111941 |
| Freddie Mac Gold Pool 4% 11/1/2045  | 22392 | 21634 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 11106 | 10820 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 5984 | 5852 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 19784 | 19271 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 13072 | 12724 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 12721 | 12384 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 5625 | 5470 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 10286 | 10002 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 6267 | 6080 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 171074 | 166170 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 85118 | 82182 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 8656 | 8358 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 12612 | 12130 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 6785 | 6630 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 13879 | 13475 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 509886 | 497639 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 282007 | 275489 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 9099 | 8873 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 3942 | 3870 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 59456 | 57405 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 15152 | 14629 |
| Freddie Mac Gold Pool 4% 5/1/2037  | 694934 | 687427 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 11155 | 10849 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 3692 | 3588 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 409800 | 393116 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 275582 | 264698 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 10308 | 10077 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 7119 | 6919 |
| Freddie Mac Gold Pool 4% 6/1/2044  | 10177 | 9868 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 10647 | 10329 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 195322 | 188340 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 732797 | 705916 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 23420 | 22774 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 21139 | 20606 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 11623 | 11328 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 6692 | 6502 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 5805 | 5639 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 5578 | 5418 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 2559 | 2487 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 110626 | 106914 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 12651 | 12300 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 10055 | 9827 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 7327 | 7168 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 11405 | 11073 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 2702 | 2636 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 21055 | 20582 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 13380 | 13096 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 19758 | 19243 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 18439 | 17948 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 15490 | 15057 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 15360 | 14961 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 13108 | 12732 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 10624 | 10347 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 4884 | 4741 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 2113 | 2064 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 17782 | 17277 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 12963 | 12566 |
| Freddie Mac Gold Pool 4% 9/1/2047  | 10293 | 9909 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 8011 | 8039 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 315042 | 315937 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 8038 | 7968 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 89918 | 90118 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 4457 | 4472 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 598403 | 593151 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 30298 | 29909 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 22167 | 22236 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 23917 | 23997 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 8140 | 8069 |
| Freddie Mac Gold Pool 4.5% 12/1/2047  | 176271 | 174614 |
| Freddie Mac Gold Pool 4.5% 12/1/2052  | 526217 | 512719 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 15225 | 15268 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 15213 | 15254 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 11416 | 11439 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 11026 | 11060 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 9333 | 9364 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 6483 | 6498 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 56931 | 56931 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 37627 | 37297 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 60010 | 60179 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 14575 | 14616 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 8433 | 8456 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 56966 | 56977 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 51336 | 51344 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 34677 | 34673 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 21004 | 20998 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 97992 | 98260 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 15507 | 15537 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 15170 | 15207 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 81300 | 80485 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 32257 | 31934 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 31563 | 31247 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 47079 | 47247 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 16530 | 16568 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 16211 | 16241 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 1953 | 1957 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 98460 | 97596 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 73130 | 72488 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 32950 | 32661 |
| Freddie Mac Gold Pool 4.5% 5/1/2048  | 64221 | 63577 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 17279 | 17334 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 12570 | 12598 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 10661 | 10695 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 5095 | 5115 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 142615 | 141319 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 42598 | 42304 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 77548 | 77013 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 58104 | 57576 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 34186 | 33950 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 2522 | 2530 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 30434 | 30517 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2289 | 2296 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 232677 | 233295 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 42259 | 42377 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 29467 | 30054 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 77622 | 77999 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 786949 | 792985 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1850572 | 1859560 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 57194 | 58357 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 5497 | 5606 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 363570 | 365108 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 19841 | 20243 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 94671 | 96610 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 468704 | 470688 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 6506 | 6633 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 27983 | 28535 |
| Freddie Mac Gold Pool 5.5% 3/1/2053  | 2414694 | 2474218 |
| Freddie Mac Gold Pool 5.5% 9/1/2052  | 1227333 | 1251451 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 1868278 | 1941297 |
| Freddie Mac Gold Pool 6% 4/1/2032  | 29448 | 30545 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 989271 | 1025771 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 9692 | 10017 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 1551200 | 1611826 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 1646 | 1738 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 16978 | 17885 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 4282085 | 4447102 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 404510 | 420698 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 181238 | 187415 |
| Freddie Mac Gold Pool 6.5% 1/1/2053  | 721827 | 749638 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1239433 | 1298225 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 1195433 | 1258582 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 125214 | 131545 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 1423106 | 1498283 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 32 | 31 |
| Freddie Mac Gold Pool 7.5% 10/1/2027  | 7 | 6 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 579 | 604 |
| Freddie Mac Gold Pool 7.5% 11/1/2031  | 45 | 48 |
| Freddie Mac Gold Pool 7.5% 2/1/2028  | 27 | 27 |
| Freddie Mac Gold Pool 7.5% 8/1/2026  | 5 | 4 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 1180 | 1249 |
| Freddie Mac Gold Pool 8% 4/1/2027  | 31 | 30 |
| Freddie Mac Gold Pool 8% 5/1/2027  | 15 | 15 |
| Freddie Mac Gold Pool 8.5% 1/1/2028  | 40 | 41 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 6 | 6 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 445997 | 462069 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 1818868 | 1883277 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 6/1/2055  | 791205 | 833619 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 6.224% 3/1/2036 (c)(d) | 9033 | 9194 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.716% 9/1/2041 (c)(d) | 6670 | 6959 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (c)(d) | 864 | 902 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.535% 6/1/2041 (c)(d) | 3451 | 3601 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.672% 6/1/2041 (c)(d) | 11985 | 12512 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.777% 5/1/2041 (c)(d) | 8542 | 8921 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.837% 5/1/2041 (c)(d) | 12490 | 13045 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 6.658% 3/1/2033 (c)(d) | 120 | 123 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.16%, 6.785% 11/1/2035 (c)(d) | 651 | 675 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.247%, 6.496% 1/1/2035 (c)(d) | 965 | 985 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 1042373 | 1063833 |
| Freddie Mac Non Gold Pool 5.5% 6/1/2053  | 516537 | 526687 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 4413104 | 4499825 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1257222 | 1282712 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.655%, 6.305% 4/1/2035 (c)(d) | 7399 | 7531 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.645%, 8.27% 10/1/2035 (c)(d) | 84 | 88 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 548182 | 567380 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 505680 | 521967 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 424323 | 444649 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 658927 | 562393 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 559156 | 477414 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 492199 | 420245 |
| Ginnie Mae I Pool 3% 1/15/2045  | 5472 | 4966 |
| Ginnie Mae I Pool 3% 1/15/2045  | 5290 | 4806 |
| Ginnie Mae I Pool 3% 1/15/2045  | 1481 | 1344 |
| Ginnie Mae I Pool 3% 12/20/2042  | 606259 | 557665 |
| Ginnie Mae I Pool 3% 2/15/2045  | 5218 | 4743 |
| Ginnie Mae I Pool 3% 2/15/2045  | 4620 | 4194 |
| Ginnie Mae I Pool 3% 2/15/2045  | 2353 | 2138 |
| Ginnie Mae I Pool 3% 3/15/2045  | 10012 | 9086 |
| Ginnie Mae I Pool 3% 3/15/2045  | 6355 | 5762 |
| Ginnie Mae I Pool 3% 3/15/2045  | 5828 | 5307 |
| Ginnie Mae I Pool 3% 3/15/2045  | 4892 | 4441 |
| Ginnie Mae I Pool 3% 3/15/2045  | 4490 | 4095 |
| Ginnie Mae I Pool 3% 3/15/2045  | 2899 | 2626 |
| Ginnie Mae I Pool 3% 3/15/2045  | 2408 | 2201 |
| Ginnie Mae I Pool 3% 3/15/2045  | 1896 | 1720 |
| Ginnie Mae I Pool 3% 3/15/2045  | 1671 | 1525 |
| Ginnie Mae I Pool 3% 3/15/2045  | 1430 | 1298 |
| Ginnie Mae I Pool 3% 3/20/2043  | 393795 | 362393 |
| Ginnie Mae I Pool 3% 3/20/2043  | 161879 | 149080 |
| Ginnie Mae I Pool 3% 6/15/2045  | 3321 | 3036 |
| Ginnie Mae I Pool 3% 6/15/2045  | 2390 | 2166 |
| Ginnie Mae I Pool 3% 6/15/2045  | 1599 | 1449 |
| Ginnie Mae I Pool 3% 7/15/2045  | 6306 | 5702 |
| Ginnie Mae I Pool 3% 7/15/2045  | 5840 | 5318 |
| Ginnie Mae I Pool 3% 7/15/2045  | 5496 | 4975 |
| Ginnie Mae I Pool 3% 7/15/2045  | 5190 | 4724 |
| Ginnie Mae I Pool 3% 7/15/2045  | 4914 | 4448 |
| Ginnie Mae I Pool 3% 7/15/2045  | 3991 | 3628 |
| Ginnie Mae I Pool 3% 7/15/2045  | 3877 | 3507 |
| Ginnie Mae I Pool 3% 7/15/2045  | 3658 | 3316 |
| Ginnie Mae I Pool 3% 7/15/2045  | 1490 | 1348 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 28097 | 26653 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 186620 | 171164 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 95219 | 87571 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 92794 | 85340 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 26640 | 24432 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 332836 | 304671 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 103975 | 98026 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 23620 | 21716 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 10778 | 9886 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 8363 | 7691 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 2499 | 2293 |
| Ginnie Mae I Pool 3.5% 2/15/2041  | 50760 | 47989 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 46235 | 43622 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 50447 | 47323 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 112010 | 105840 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 81768 | 77244 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 32784 | 30886 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 74263 | 69600 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 1884357 | 1726670 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 56516 | 53335 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 1118042 | 1024482 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 4358459 | 3989647 |
| Ginnie Mae I Pool 4% 1/15/2042  | 1979 | 1917 |
| Ginnie Mae I Pool 4% 1/15/2043  | 9699 | 9379 |
| Ginnie Mae I Pool 4% 10/15/2040  | 11675 | 11342 |
| Ginnie Mae I Pool 4% 10/15/2041  | 101577 | 98401 |
| Ginnie Mae I Pool 4% 10/15/2041  | 88581 | 85908 |
| Ginnie Mae I Pool 4% 10/15/2041  | 79338 | 76821 |
| Ginnie Mae I Pool 4% 10/15/2041  | 49064 | 47599 |
| Ginnie Mae I Pool 4% 10/15/2041  | 22865 | 22210 |
| Ginnie Mae I Pool 4% 10/15/2041  | 14440 | 13997 |
| Ginnie Mae I Pool 4% 10/15/2041  | 12026 | 11669 |
| Ginnie Mae I Pool 4% 10/15/2041  | 10787 | 10466 |
| Ginnie Mae I Pool 4% 10/15/2041  | 9097 | 8833 |
| Ginnie Mae I Pool 4% 10/15/2041  | 5325 | 5165 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4499 | 4359 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4161 | 4026 |
| Ginnie Mae I Pool 4% 10/15/2041  | 1086 | 1054 |
| Ginnie Mae I Pool 4% 10/20/2052  | 3128718 | 2968096 |
| Ginnie Mae I Pool 4% 11/15/2040  | 28822 | 27934 |
| Ginnie Mae I Pool 4% 11/15/2040  | 5835 | 5662 |
| Ginnie Mae I Pool 4% 11/15/2040  | 2844 | 2757 |
| Ginnie Mae I Pool 4% 11/15/2041  | 31244 | 30296 |
| Ginnie Mae I Pool 4% 11/15/2042  | 2421 | 2342 |
| Ginnie Mae I Pool 4% 12/15/2041  | 45382 | 43970 |
| Ginnie Mae I Pool 4% 12/15/2041  | 25523 | 24729 |
| Ginnie Mae I Pool 4% 12/15/2041  | 14827 | 14384 |
| Ginnie Mae I Pool 4% 12/15/2041  | 9965 | 9652 |
| Ginnie Mae I Pool 4% 12/15/2041  | 5584 | 5429 |
| Ginnie Mae I Pool 4% 12/15/2041  | 1099 | 1065 |
| Ginnie Mae I Pool 4% 12/15/2042  | 2587 | 2505 |
| Ginnie Mae I Pool 4% 2/15/2041  | 5103 | 4956 |
| Ginnie Mae I Pool 4% 2/15/2042  | 3517 | 3407 |
| Ginnie Mae I Pool 4% 3/15/2040  | 38181 | 37167 |
| Ginnie Mae I Pool 4% 3/15/2041  | 3348 | 3251 |
| Ginnie Mae I Pool 4% 3/15/2042  | 15977 | 15470 |
| Ginnie Mae I Pool 4% 3/15/2042  | 5185 | 5015 |
| Ginnie Mae I Pool 4% 4/15/2042  | 6354 | 6150 |
| Ginnie Mae I Pool 4% 4/15/2043  | 1856 | 1799 |
| Ginnie Mae I Pool 4% 4/15/2046  | 421366 | 405811 |
| Ginnie Mae I Pool 4% 4/20/2047  | 157171 | 149630 |
| Ginnie Mae I Pool 4% 4/20/2047  | 148919 | 141774 |
| Ginnie Mae I Pool 4% 4/20/2048  | 132108 | 125728 |
| Ginnie Mae I Pool 4% 4/20/2048  | 121061 | 115215 |
| Ginnie Mae I Pool 4% 6/15/2041  | 4046 | 3923 |
| Ginnie Mae I Pool 4% 7/15/2040  | 13999 | 13614 |
| Ginnie Mae I Pool 4% 7/15/2041  | 8855 | 8585 |
| Ginnie Mae I Pool 4% 8/15/2041  | 132169 | 128139 |
| Ginnie Mae I Pool 4% 8/15/2041  | 12782 | 12398 |
| Ginnie Mae I Pool 4% 8/15/2043  | 2783 | 2683 |
| Ginnie Mae I Pool 4% 9/15/2040  | 6148 | 5972 |
| Ginnie Mae I Pool 4% 9/15/2041  | 14621 | 14171 |
| Ginnie Mae I Pool 4% 9/15/2041  | 12423 | 12050 |
| Ginnie Mae I Pool 4% 9/15/2041  | 10757 | 10442 |
| Ginnie Mae I Pool 4% 9/15/2041  | 2730 | 2644 |
| Ginnie Mae I Pool 4% 9/15/2041  | 1304 | 1269 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 11312 | 11290 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1301 | 1299 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 213955 | 213318 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 170153 | 169776 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 56363 | 56243 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 2553 | 2547 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 23203 | 23142 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 4163941 | 4063170 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 3636 | 3630 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 32237 | 32168 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 21753 | 21710 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 15829 | 15797 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 42288 | 42201 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 19752 | 19710 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 14396 | 14363 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 2243 | 2237 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 37897 | 37830 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 14063 | 14032 |
| Ginnie Mae I Pool 5% 10/15/2039  | 11289 | 11477 |
| Ginnie Mae I Pool 5% 10/15/2039  | 4877 | 4957 |
| Ginnie Mae I Pool 5% 11/15/2040  | 10249 | 10421 |
| Ginnie Mae I Pool 5% 11/15/2040  | 4144 | 4216 |
| Ginnie Mae I Pool 5% 12/15/2039  | 14167 | 14405 |
| Ginnie Mae I Pool 5% 3/15/2039  | 6536 | 6643 |
| Ginnie Mae I Pool 5% 4/15/2040  | 1729 | 1758 |
| Ginnie Mae I Pool 5% 4/15/2041  | 4433 | 4509 |
| Ginnie Mae I Pool 5% 4/15/2041  | 3042 | 3093 |
| Ginnie Mae I Pool 5% 4/15/2041  | 1985 | 2019 |
| Ginnie Mae I Pool 5% 4/20/2048  | 343555 | 350488 |
| Ginnie Mae I Pool 5% 6/15/2040  | 7622 | 7750 |
| Ginnie Mae I Pool 5% 7/15/2040  | 12611 | 12823 |
| Ginnie Mae I Pool 5% 7/15/2040  | 9250 | 9406 |
| Ginnie Mae I Pool 5% 7/15/2040  | 7736 | 7866 |
| Ginnie Mae I Pool 5% 8/15/2039  | 10644 | 10821 |
| Ginnie Mae I Pool 5% 8/15/2039  | 904 | 919 |
| Ginnie Mae I Pool 5% 8/15/2040  | 22275 | 22649 |
| Ginnie Mae I Pool 5% 8/15/2040  | 18420 | 18731 |
| Ginnie Mae I Pool 5% 9/15/2039  | 8671 | 8816 |
| Ginnie Mae I Pool 5% 9/15/2040  | 12334 | 12541 |
| Ginnie Mae I Pool 5% 9/15/2040  | 8221 | 8359 |
| Ginnie Mae I Pool 6.5% 11/15/2035  | 2408 | 2518 |
| Ginnie Mae I Pool 6.5% 4/15/2035  | 3111 | 3246 |
| Ginnie Mae I Pool 6.5% 9/15/2035  | 7016 | 7301 |
| Ginnie Mae I Pool 7% 1/15/2028  | 406 | 411 |
| Ginnie Mae I Pool 7% 1/15/2028  | 17 | 18 |
| Ginnie Mae I Pool 7% 10/15/2028  | 74 | 76 |
| Ginnie Mae I Pool 7% 10/15/2031  | 1856 | 1915 |
| Ginnie Mae I Pool 7% 12/15/2028  | 122 | 124 |
| Ginnie Mae I Pool 7% 12/15/2030  | 2918 | 3009 |
| Ginnie Mae I Pool 7% 2/15/2028  | 1672 | 1694 |
| Ginnie Mae I Pool 7% 2/15/2028  | 25 | 25 |
| Ginnie Mae I Pool 7% 2/15/2032  | 6273 | 6484 |
| Ginnie Mae I Pool 7% 2/15/2032  | 185 | 192 |
| Ginnie Mae I Pool 7% 3/15/2028  | 103 | 104 |
| Ginnie Mae I Pool 7% 3/15/2029  | 829 | 847 |
| Ginnie Mae I Pool 7% 3/15/2032  | 3319 | 3418 |
| Ginnie Mae I Pool 7% 3/15/2032  | 2237 | 2304 |
| Ginnie Mae I Pool 7% 3/15/2032  | 27 | 28 |
| Ginnie Mae I Pool 7% 4/15/2028  | 249 | 253 |
| Ginnie Mae I Pool 7% 4/15/2028  | 11 | 11 |
| Ginnie Mae I Pool 7% 4/15/2029  | 689 | 703 |
| Ginnie Mae I Pool 7% 4/15/2029  | 340 | 347 |
| Ginnie Mae I Pool 7% 4/15/2031  | 474 | 486 |
| Ginnie Mae I Pool 7% 4/15/2032  | 8748 | 9074 |
| Ginnie Mae I Pool 7% 4/15/2032  | 959 | 994 |
| Ginnie Mae I Pool 7% 4/15/2032  | 597 | 615 |
| Ginnie Mae I Pool 7% 4/15/2032  | 152 | 157 |
| Ginnie Mae I Pool 7% 5/15/2029  | 544 | 556 |
| Ginnie Mae I Pool 7% 5/15/2032  | 277 | 287 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1009 | 1014 |
| Ginnie Mae I Pool 7% 6/15/2028  | 307 | 312 |
| Ginnie Mae I Pool 7% 6/15/2028  | 98 | 100 |
| Ginnie Mae I Pool 7% 6/15/2032  | 2557 | 2651 |
| Ginnie Mae I Pool 7% 6/15/2032  | 921 | 950 |
| Ginnie Mae I Pool 7% 6/15/2032  | 75 | 77 |
| Ginnie Mae I Pool 7% 6/15/2032  | 70 | 72 |
| Ginnie Mae I Pool 7% 7/15/2028  | 189 | 189 |
| Ginnie Mae I Pool 7% 7/15/2028  | 53 | 54 |
| Ginnie Mae I Pool 7% 7/15/2028  | 11 | 10 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1393 | 1438 |
| Ginnie Mae I Pool 7% 7/15/2031  | 558 | 574 |
| Ginnie Mae I Pool 7% 7/15/2031  | 308 | 319 |
| Ginnie Mae I Pool 7% 7/15/2032  | 332 | 345 |
| Ginnie Mae I Pool 7% 8/15/2031  | 1059 | 1072 |
| Ginnie Mae I Pool 7% 8/15/2031  | 867 | 896 |
| Ginnie Mae I Pool 7% 8/15/2031  | 86 | 88 |
| Ginnie Mae I Pool 7% 9/15/2031  | 943 | 969 |
| Ginnie Mae I Pool 7% 9/15/2031  | 276 | 284 |
| Ginnie Mae I Pool 7% 9/15/2031  | 142 | 147 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 87 | 88 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 10 | 9 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 1633 | 1672 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 324 | 331 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 44 | 44 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 1042 | 1063 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 368 | 372 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 328 | 333 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 147 | 149 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 119 | 121 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 101 | 102 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 56 | 57 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 43 | 43 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 33 | 33 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 14 | 14 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 117 | 118 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 134 | 135 |
| Ginnie Mae I Pool 8% 3/15/2030  | 575 | 592 |
| Ginnie Mae I Pool 8% 5/15/2030  | 299 | 308 |
| Ginnie Mae I Pool 8% 9/15/2030  | 592 | 611 |
| Ginnie Mae II Pool 2% 1/20/2051  | 20477857 | 16952647 |
| Ginnie Mae II Pool 2% 10/20/2050  | 4870741 | 4032255 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2173590 | 1799412 |
| Ginnie Mae II Pool 2% 12/20/2050  | 4052350 | 3353799 |
| Ginnie Mae II Pool 2% 2/20/2051  | 4498873 | 3724404 |
| Ginnie Mae II Pool 2% 9/20/2050  | 3316215 | 2746374 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 72586 | 62542 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 9841203 | 8480949 |
| Ginnie Mae II Pool 2.5% 5/20/2052  | 13882634 | 11964856 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 813373 | 700567 |
| Ginnie Mae II Pool 2.5% 6/20/2054  | 431475 | 371803 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 1910748 | 1645748 |
| Ginnie Mae II Pool 2.5% 9/20/2051  | 1936004 | 1667501 |
| Ginnie Mae II Pool 3% 1/20/2032  | 603632 | 588891 |
| Ginnie Mae II Pool 3% 10/1/2055 (e) | 7425000 | 6631885 |
| Ginnie Mae II Pool 3% 10/20/2031  | 197826 | 193102 |
| Ginnie Mae II Pool 3% 11/20/2031  | 212851 | 207652 |
| Ginnie Mae II Pool 3% 12/20/2031  | 322589 | 314798 |
| Ginnie Mae II Pool 3% 12/20/2046  | 871016 | 789516 |
| Ginnie Mae II Pool 3% 2/20/2031  | 25794 | 25236 |
| Ginnie Mae II Pool 3% 3/20/2031  | 52170 | 51026 |
| Ginnie Mae II Pool 3% 3/20/2046  | 51656 | 46855 |
| Ginnie Mae II Pool 3% 3/20/2050  | 420351 | 376685 |
| Ginnie Mae II Pool 3% 4/20/2031  | 194893 | 190619 |
| Ginnie Mae II Pool 3% 4/20/2047  | 16921 | 15338 |
| Ginnie Mae II Pool 3% 4/20/2052  | 10488030 | 9373118 |
| Ginnie Mae II Pool 3% 5/20/2031  | 412794 | 403625 |
| Ginnie Mae II Pool 3% 7/20/2031  | 5432 | 5307 |
| Ginnie Mae II Pool 3% 8/20/2031  | 63260 | 61784 |
| Ginnie Mae II Pool 3% 9/20/2031  | 25409 | 24816 |
| Ginnie Mae II Pool 3.5% 10/1/2055 (e) | 1525000 | 1390826 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 49762 | 47335 |
| Ginnie Mae II Pool 4% 1/20/2041  | 163893 | 159628 |
| Ginnie Mae II Pool 4% 1/20/2042  | 561076 | 545576 |
| Ginnie Mae II Pool 4% 1/20/2046  | 2203 | 2125 |
| Ginnie Mae II Pool 4% 10/1/2055 (e) | 7200000 | 6770215 |
| Ginnie Mae II Pool 4% 10/20/2040  | 79863 | 77802 |
| Ginnie Mae II Pool 4% 10/20/2045  | 1971 | 1903 |
| Ginnie Mae II Pool 4% 11/20/2040  | 323247 | 314829 |
| Ginnie Mae II Pool 4% 12/20/2045  | 2652 | 2557 |
| Ginnie Mae II Pool 4% 2/20/2041  | 5328 | 5189 |
| Ginnie Mae II Pool 4% 3/20/2047  | 84341 | 81165 |
| Ginnie Mae II Pool 4% 4/20/2047  | 303211 | 291790 |
| Ginnie Mae II Pool 4% 5/20/2046  | 470700 | 453853 |
| Ginnie Mae II Pool 4% 6/20/2045  | 53563 | 51749 |
| Ginnie Mae II Pool 4% 7/20/2044  | 2755 | 2666 |
| Ginnie Mae II Pool 4% 8/20/2043  | 19890 | 19287 |
| Ginnie Mae II Pool 4% 8/20/2045  | 387804 | 374427 |
| Ginnie Mae II Pool 4% 9/20/2040  | 126828 | 123549 |
| Ginnie Mae II Pool 4% 9/20/2045  | 1866 | 1801 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 1838967 | 1786417 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 7262 | 7248 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 48385 | 48306 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 14141 | 14113 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 36938 | 36875 |
| Ginnie Mae II Pool 4.5% 7/20/2054  | 871775 | 846863 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 168578 | 168278 |
| Ginnie Mae II Pool 5% 10/1/2055 (e) | 12400000 | 12334162 |
| Ginnie Mae II Pool 5% 11/1/2055 (e) | 4750000 | 4718471 |
| Ginnie Mae II Pool 5% 12/20/2054  | 713462 | 712030 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 575213 | 579818 |
| Ginnie Mae II Pool 5.5% 2/20/2055  | 3337267 | 3364246 |
| Ginnie Mae II Pool 5.5% 3/20/2055  | 1143051 | 1152292 |
| Ginnie Mae II Pool 5.5% 6/20/2055  | 3233066 | 3259204 |
| Ginnie Mae II Pool 5.5% 7/20/2055  | 5836047 | 5883228 |
| Ginnie Mae II Pool 6% 10/1/2055 (e) | 22975000 | 23368626 |
| Ginnie Mae II Pool 6% 11/1/2055 (e) | 3325000 | 3381707 |
| Ginnie Mae II Pool 6% 12/20/2054  | 1890870 | 1923618 |
| Ginnie Mae II Pool 6% 5/20/2055  | 10351026 | 10540811 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 3613804 | 3717943 |
| Uniform Mortgage Backed Securities 2% 10/1/2055 (e) | 47075000 | 37939508 |
| Uniform Mortgage Backed Securities 2% 11/1/2055 (e) | 27475000 | 22146353 |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 (e) | 33625000 | 28326436 |
| Uniform Mortgage Backed Securities 2.5% 11/1/2055 (e) | 2700000 | 2275067 |
| Uniform Mortgage Backed Securities 3% 10/1/2055 (e) | 13000000 | 11418164 |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 (e) | 1975000 | 1804579 |
| Uniform Mortgage Backed Securities 4% 10/1/2055 (e) | 7200000 | 6784594 |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 (e) | 1325000 | 1285146 |
| Uniform Mortgage Backed Securities 5% 10/1/2055 (e) | 8250000 | 8181358 |
| Uniform Mortgage Backed Securities 5.5% 10/1/2055 (e) | 9900000 | 9982371 |
| Uniform Mortgage Backed Securities 6% 10/1/2055 (e) | 45275000 | 46247706 |
| Uniform Mortgage Backed Securities 6.5% 10/1/2055 (e) | 4100000 | 4236933 |
| Uniform Mortgage Backed Securities 6.5% 11/1/2055 (e) | 1875000 | 1938867 |
| TOTAL UNITED STATES |  | 641306437 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $650,826,459) |  | <br> **641306437** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 48.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 48.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 48.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 48.9%** |
|  | Yield (%) (g) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.125% 5/15/2040  | 1.02 | 12353900 | 7867408 |
| US Treasury Bonds 1.75% 8/15/2041  | 1.94 | 43542800 | 29544470 |
| US Treasury Bonds 1.875% 11/15/2051  | 1.95 to 2.04 | 13856800 | 7838834 |
| US Treasury Bonds 2% 11/15/2041  | 2.00 to 2.14 | 16500000 | 11587383 |
| US Treasury Bonds 2% 8/15/2051  | 1.86 to 1.94 | 32104200 | 18808547 |
| US Treasury Bonds 2.25% 2/15/2052  | 2.26 to 2.90 | 36300000 | 22515926 |
| US Treasury Bonds 2.875% 5/15/2052  | 3.07 to 3.19 | 23300000 | 16626734 |
| US Treasury Bonds 3.375% 8/15/2042  | 3.46 to 3.75 | 34200000 | 29139469 |
| US Treasury Bonds 3.625% 5/15/2053  | 3.90 to 4.02 | 26100000 | 21556969 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 22874000 | 20242597 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.18 to 5.00 | 53171000 | 48059522 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.37 to 4.78 | 67700000 | 62490274 |
| US Treasury Bonds 4.25% 8/15/2054  | 3.96 to 4.65 | 19575000 | 18070172 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.60 | 5000000 | 4913310 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.49 to 4.65 | 12830000 | 12605475 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.82 to 4.98 | 40951000 | 41078972 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.73 to 4.91 | 25100000 | 25186281 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.49 | 1463977 | 1430672 |
| US Treasury Notes 2.375% 3/31/2029  | 2.67 | 10000000 | 9582031 |
| US Treasury Notes 3.375% 5/15/2033  | 3.64 to 4.04 | 67451000 | 64789848 |
| US Treasury Notes 3.5% 2/15/2033  | 3.92 | 63000000 | 61161680 |
| US Treasury Notes 3.625% 8/31/2030  | 3.58 to 3.61 | 11900000 | 11838641 |
| US Treasury Notes 3.75% 6/30/2030  | 3.91 to 4.12 | 64800000 | 64827844 |
| US Treasury Notes 3.875% 11/30/2029  | 3.65 to 3.86 | 123000000 | 123792773 |
| US Treasury Notes 3.875% 12/31/2029  | 3.47 | 85000000 | 85544531 |
| US Treasury Notes 3.875% 8/15/2033  | 4.02 to 4.77 | 36190000 | 35890302 |
| US Treasury Notes 3.875% 8/15/2034  | 3.64 to 4.27 | 128800000 | 126832580 |
| US Treasury Notes 3.875% 8/31/2032  | 3.93 | 6200000 | 6181594 |
| US Treasury Notes 4% 1/31/2029  | 4.30 | 28000000 | 28302969 |
| US Treasury Notes 4% 1/31/2031  | 4.13 | 39100000 | 39507801 |
| US Treasury Notes 4% 4/30/2032  | 4.26 to 4.27 | 65800000 | 66182976 |
| US Treasury Notes 4% 6/30/2032  | 3.98 | 4600000 | 4623718 |
| US Treasury Notes 4% 7/31/2032  | 4.11 to 4.12 | 30200000 | 30341563 |
| US Treasury Notes 4.125% 11/15/2032  | 3.59 | 38824000 | 39275935 |
| US Treasury Notes 4.125% 2/29/2032  | 4.15 to 4.23 | 70000000 | 70943359 |
| US Treasury Notes 4.125% 5/31/2032  | 4.05 | 593000 | 600545 |
| US Treasury Notes 4.125% 8/31/2030  | 4.61 | 24900000 | 25317269 |
| US Treasury Notes 4.25% 11/15/2034  | 4.44 | 7500000 | 7584668 |
| US Treasury Notes 4.25% 5/15/2035  | 4.38 to 4.49 | 39600000 | 39965063 |
| US Treasury Notes 4.25% 8/15/2035  | 4.03 to 4.15 | 55400000 | 55850125 |
| US Treasury Notes 4.375% 1/31/2032  | 4.41 | 16400000 | 16853563 |
| US Treasury Notes 4.375% 11/30/2030  | 4.27 to 4.35 | 88200000 | 90690961 |
| US Treasury Notes 4.625% 2/15/2035  | 4.17 to 4.24 | 47300000 | 49159793 |
| US Treasury Notes 4.875% 10/31/2030  | 4.91 | 22600000 | 23755602 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $1,643,343,491) |  |  | **1578960749** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 4.4%** | &nbsp;&nbsp;**Money Market Funds - 4.4%** | &nbsp;&nbsp;**Money Market Funds - 4.4%** | &nbsp;&nbsp;**Money Market Funds - 4.4%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h)<br>(Cost $140,678,261)<br>| 4.21 | 140650525 | **140678655** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 108.6%**<br> (Cost $3,589,834,229)<br>| <br>**3504533305** |
| **NET OTHER ASSETS (LIABILITIES) - (8.6)%**  | **(275324151)** |
| **NET ASSETS - 100.0%** | **3229209154** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2.5% 10/1/2055 | (8400000) | (7230702) |
| Ginnie Mae II Pool 3% 10/1/2055 | (7425000) | (6631884) |
| Ginnie Mae II Pool 3.5% 10/1/2055 | (1525000) | (1390825) |
| Ginnie Mae II Pool 4% 10/1/2055 | (7200000) | (6770215) |
| Ginnie Mae II Pool 5% 10/1/2055 | (9500000) | (9449560) |
| Ginnie Mae II Pool 6% 10/1/2055 | (15625000) | (15892700) |
| Uniform Mortgage Backed Securities 2% 10/1/2055 | (73050000) | (58873734) |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 | (11125000) | (9371944) |
| Uniform Mortgage Backed Securities 3% 10/1/2055 | (13000000) | (11418164) |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 | (4400000) | (4020328) |
| Uniform Mortgage Backed Securities 4% 10/1/2055 | (7200000) | (6784594) |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 | (1325000) | (1285147) |
| Uniform Mortgage Backed Securities 5.5% 10/1/2055 | (3300000) | (3327457) |
| Uniform Mortgage Backed Securities 6.5% 10/1/2055 | (1875000) | (1937622) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (144384876) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $144,869,517) |  | <br> **(144384876)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 21 | 12/19/2025 | 2362172 | 954 | 954 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 122 | 12/31/2025 | 25420797 | 2698 | 2698 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 55 | 12/19/2025 | 6605156 | (245) | (245) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **3407** |
| The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 10600000 | (138981) | 139717 | 736 |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 12/17/2027 | 26500000 | 6982 | 0 | 6982 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 12/17/2028 | 4630000 | 1674 | 0 | 1674 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/17/2032 | 14740000 | (2768) | 0 | (2768) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **5888** | **0** | **5888** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

(4)Represents floating rate.

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $503,670,670 or 15.6% of net assets.

(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(g) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 36534283 | 467701001 | 363556380 | 2572946 | (249) | - | 140678655 | 140650525 | 0.3% |
| Fidelity Securities Lending Cash Central Fund | 7141810 | 166238053 | 173379863 | 4135 | - | - | - | - | 0.0% |
| Total | 43676093 | 633939054 | 536936243 | 2577081 | (249) | - | 140678655 |  |  |

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Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Directors (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations, Bank Notes, Foreign Government and Government Agency Obligations and Non-Convertible Corporate Bonds are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset-Backed Securities, Collateralized Mortgage Obligations, Commercial Mortgage Securities and U.S. Government Agency - Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Brokers who make markets in asset backed securities, collateralized mortgage obligations, and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

The Fund invests a significant portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

*The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Garrison Street Trust

- **b. Investment Company Act file number:** 811-04861

- **c. CIK number of Registrant:** 0000803013

- **d. LEI of Registrant:** GZF76QJ38YQDHAIO0Y79

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** VIP Investment Grade Central Fund

- **b. EDGAR series identifier (if any):** S000013236

- **c. LEI of Series:** OWUVAQDA1170JQA75H59

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3554053684.83

**Total Liabilities:** $337129150.12

**Net Assets:** $3216924534.71

**Delayed Delivery Securities:** $207474847.55

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 30175.46875186 | **1-Year:** 198918.05769053 | **5-Year:** 712828.04748294 | **10-Year:** 663511.97553688 | **30-Year:** 387675.50648237

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

- **3-Month:** 800.98360756 | **1-Year:** 3547.85977880 | **5-Year:** 2047.30402902 | **10-Year:** 47.61655777 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000035576 | -0.23%               | 1.18%                | 1.08%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6068303.12             | $-12361420.91                              |
| Month 2  | $-1581076.99             | $27346203.86                               |
| Month 3  | $468847.38               | $21257144.44                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Index

- **Index Identifier:** 19808143

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/51#BT1461                                                                         | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47181 | PA      | $38683.56     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2035#FM4368                                                                  | CUSIP: 3140X72A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12259 | PA      | $11022.61     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/38 #889371                                                                           | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34103 | PA      | $35944.37     | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                         | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                                          | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2661605 | PA      | $2664100.16   | 0.08%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AQ5772                                                                  | CUSIP: 3138MMMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11234 | PA      | $10355.32     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR1584                                                                  | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152199 | PA      | $140742.05    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TR                                                                 | AASET 2021-2 TR 2.798% 01/15/2047 144A                                                            | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2389310 | PA      | $2251794.51   | 0.07%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 1.494%/VAR 08/10/2027 144A                                                           | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1788000 | PA      | $1745877.03   | 0.05%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AV6611                                                                  | CUSIP: 3138XJKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52055 | PA      | $51985.56     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR2904                                                                  | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56545 | PA      | $52271.76     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                     | BNP PARIBAS 5.786%/VAR 01/13/2033 144A                                                            | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2966000 | PA      | $3112889.82   | 0.10%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                   | BMP 2024-MF23 TSFR1M+174.142 06/15/2041 144A                                                      | CUSIP: 05593JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    822000 | PA      | $823798.13    | 0.03%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #773113                                                                           | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1304 | PA      | $1269.26      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BM1884                                                                    | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37227 | PA      | $36264.82     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 7.008% 05/01/2064                                                                       | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    952000 | PA      | $1102085.99   | 0.03%             | 2064-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 10/01/2055 #TBA                                                                        | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -7425000 | PA      | $-6631884.52  | -0.21%            | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2046#BC1823                                                                    | CUSIP: 3140EWAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9116 | PA      | $8801.63      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479607                                                                          | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12026 | PA      | $11668.87     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 32 LTD                                                             | FLATIRON CLO 32 LTD 32A A1 TSFR3M+129 10/22/2038 144A                                             | CUSIP: 33882RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2133000 | PA      | $2142223.09   | 0.07%             | 2038-10-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 03/20/2047#MA4322                                                                      | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84341 | PA      | $81164.50     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                     | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    911877 | PA      | $864572.55    | 0.03%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/01/2046#BC0887                                                                    | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249655 | PA      | $226753.27    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2020-VIV2                                                        | BX COML MTG TR 2020-VIV2 3.66045% 03/09/2044 144A                                                 | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5519000 | PA      | $5123673.48   | 0.16%             | 2044-03-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                    | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                  | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    517762 | PA      | $517927.41    | 0.02%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 9/31 #545176                                                                           | CUSIP: 36212VT90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       276 | PA      | $284.46       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 6.388% 05/01/2031                                                                       | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    626000 | PA      | $681785.93    | 0.02%             | 2031-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2049#CA4142                                                                    | CUSIP: 3140QBS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219047 | PA      | $196420.29    | 0.01%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.625% 02/15/2055                                                     | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4913310.50   | 0.15%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2042#Q12164                                                                  | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4944 | PA      | $4823.13      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.242% 9/1/41#1B8659                                                                     | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6670 | PA      | $6959.21      | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2052#FS5385                                                                  | CUSIP: 3140XL6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405460 | PA      | $348063.96    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.5% 05/02/2043                                                                  | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1137000 | PA      | $980542.31    | 0.03%             | 2043-05-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.75% 04/15/2027                                                                 | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1871000 | PA      | $1859876.66   | 0.06%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -11125000 | PA      | $-9371943.64  | -0.29%            | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2042#ZS3589                                                                  | CUSIP: 3132A37A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    718681 | PA      | $682060.45    | 0.02%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479494                                                                          | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101577 | PA      | $98401.25     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 11/40 #004853                                                                       | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323247 | PA      | $314829.32    | 0.01%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/38 #889733                                                                           | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5716 | PA      | $6036.79      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/52#MA4805                                                                       | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324640 | PA      | $316312.14    | 0.01%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035                                                      | CUSIP: 136385AG6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    766000 | PA      | $799471.94    | 0.02%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                  | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448101 | PA      | $443047.92    | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                       | FLATIRON CLO 20 LTD / LLC 20-1A A1R2 TSFR3M+124 11/20/2038 144A                                   | CUSIP: 33883MAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2662000 | PA      | $2662000.00   | 0.08%             | 2038-11-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                            | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   1014000 | PA      | $1026385.67   | 0.03%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AK9784                                                                           | CUSIP: 3138EE2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118773 | PA      | $112838.57    | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2046#G60989                                                                    | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1149685 | PA      | $1042309.56   | 0.03%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-8R LTD                                                             | OCP CLO 2020-8R LTD AR2 TSFR3M+122 10/17/2038 144A                                                | CUSIP: 670898AW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2081000 | PA      | $2081000.00   | 0.06%             | 2038-10-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 7/39 #AA9611                                                                           | CUSIP: 31416TVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       922 | PA      | $902.79       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/41 #738240                                                                           | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1985 | PA      | $2018.99      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.375% 03/31/2029                                                                       | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9582031.20   | 0.30%             | 2029-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | UBER TECHNOLOGIES INC 4.15% 01/15/2031                                                            | CUSIP: 90353TAT7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   1514000 | PA      | $1500172.94   | 0.05%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 07/01/2055#FA2138                                                                  | CUSIP: 3140W2LU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995141 | PA      | $1047865.38   | 0.03%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB7766                                                                  | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136955 | PA      | $126479.11    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2050#CA8108                                                                    | CUSIP: 3140QGAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727611 | PA      | $592479.79    | 0.02%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2051#SD2903                                                                    | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418448 | PA      | $340733.89    | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #773499                                                                          | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10787 | PA      | $10466.15     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2052#RA6823                                                                    | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1183921 | PA      | $968113.13    | 0.03%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 11/01/2033#G16677                                                                  | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10732 | PA      | $10514.33     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                               | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    451000 | PA      | $384223.49    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #745236                                                                           | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42288 | PA      | $42200.83     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 2/28 #780717                                                                           | CUSIP: 36225AYN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25 | PA      | $25.07        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                              | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3713000 | PA      | $3072136.20   | 0.10%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 4/35 #637141                                                                           | CUSIP: 36291SZE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3111 | PA      | $3245.67      | 0.00%             | 2035-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.431%/VAR 01/23/2030                                                              | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1348000 | PA      | $1354453.06   | 0.04%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                  | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2295257 | PA      | $1971061.87   | 0.06%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 4/42 #G06973                                                                           | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509886 | PA      | $497638.56    | 0.02%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2048#FS6649                                                                  | CUSIP: 3140XNL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2390740 | PA      | $2233500.23   | 0.07%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AR1624                                                                  | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21633 | PA      | $19947.18     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/46#BC6150                                                                         | CUSIP: 3140F1ZQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17252 | PA      | $16657.53     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC                                       | FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC A TSFR3M+133 01/15/2038 144A                            | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2057000 | PA      | $2066495.11   | 0.06%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                      | BETHP 2021 A TSFR3M+139.161 01/15/2035 144A                                                       | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1601217 | PA      | $1603154.47   | 0.05%             | 2035-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96783                                                                           | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15213 | PA      | $15254.48     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 02/01/2036#FM6507                                                                  | CUSIP: 3140XAGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284340 | PA      | $255671.65    | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BJ0673                                                                    | CUSIP: 3140H1XB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192568 | PA      | $187302.49    | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                      | ARES STRATEGIC INCOME FUND 5.7% 03/15/2028                                                        | CUSIP: 04020EAG2<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |   8922000 | PA      | $9047117.22   | 0.28%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX8858                                                                  | CUSIP: 3138YAZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24196 | PA      | $24089.24     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 8/42 #Q10323                                                                           | CUSIP: 3132HLLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9897 | PA      | $9397.67      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 3 LP                                                      | PK ALIFT LOAN FUNDING 3 LP 5.842% 09/15/2039 144A                                                 | CUSIP: 69291VAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    391764 | PA      | $400994.85    | 0.01%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                  | WALT DISNEY CO 3.8% 03/22/2030                                                                    | CUSIP: 254687FQ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   7061000 | PA      | $6982084.99   | 0.22%             | 2030-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XIX LTD                                                        | SIXTH STREET CLO XIX LTD A1R TSFR3M+128 07/17/2038 144A                                           | CUSIP: 83012KAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1380000 | PA      | $1383506.58   | 0.04%             | 2038-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                         | BX COML MTG TR 2023-XL3 C TSFR1M+283.988 12/09/2040 144A                                          | CUSIP: 12434GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161102 | PA      | $161404.06    | 0.01%             | 2040-12-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2282                                                                  | CUSIP: 36183XRB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6355 | PA      | $5761.50      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                            | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386779 | PA      | $208860.66    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2035#QN4142                                                                  | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21755 | PA      | $19561.49     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.8% 02/15/2029                                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    345000 | PA      | $349800.71    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.424%/VAR 07/21/2034                                                              | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3524000 | PA      | $3671659.55   | 0.11%             | 2034-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/31 #545304                                                                          | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1869 | PA      | $1963.42      | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 5/39 #698329                                                                           | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3636 | PA      | $3630.02      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 05/01/2037#C91938                                                                    | CUSIP: 3128P8EK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694934 | PA      | $687427.06    | 0.02%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q20360                                                                  | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2559 | PA      | $2487.01      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 5.875% 09/26/2045                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1073000 | PA      | $1075913.18   | 0.03%             | 2045-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                        | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    612840 | PA      | $597524.26    | 0.02%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.375% 03/15/2029                                                      | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1230900.75   | 0.04%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.3% 08/15/2052                                                                  | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    500000 | PA      | $469265.62    | 0.01%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XII LTD                                                             | ALLEGRO CLO XII LTD A1R TSFR3M+144 07/21/2037 144A                                                | CUSIP: 01750TAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3308000 | PA      | $3319214.12   | 0.10%             | 2037-07-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE4784                                                                  | CUSIP: 3140FQJ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68695 | PA      | $64112.74     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 01/15/2043#AC9441                                                                    | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9699 | PA      | $9379.14      | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2041#AI7563                                                                  | CUSIP: 3138AMMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5374 | PA      | $5380.88      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 1.95% 02/15/2028 144A                                                                | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    510000 | PA      | $485883.49    | 0.02%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2045#Q33442                                                                  | CUSIP: 3132QPZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14144 | PA      | $12902.66     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.75% 10/15/2031                                                                        | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1529000 | PA      | $1529489.37   | 0.05%             | 2031-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 06/01/2055#CC0577                                                                    | CUSIP: 3140Y6UB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490304 | PA      | $509965.12    | 0.02%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 6.55% 09/15/2040                                                    | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    141000 | PA      | $153066.26    | 0.00%             | 2040-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                  | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180522 | PA      | $166324.25    | 0.01%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2047#Q48095                                                                  | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98460 | PA      | $97596.09     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                  | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31289 | PA      | $29069.09     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 06/01/2036#BR2059                                                                  | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18857 | PA      | $16926.58     | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 3.869%/VAR 01/12/2029 144A                                                           | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1233000 | PA      | $1222671.70   | 0.04%             | 2029-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#AS7010                                                                  | CUSIP: 3138WGYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195656 | PA      | $183093.52    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                         | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1139000 | PA      | $1115396.14   | 0.03%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 6.25% 6/36 #886983                                                                       | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       834 | PA      | $857.06       | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                  | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2113 | PA      | $2063.67      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #511255                                                                           | CUSIP: 31383R5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $36.42        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 3.5% 07/01/2027                                                                    | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    517000 | PA      | $512955.48    | 0.02%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2052#FS0840                                                                    | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1343406 | PA      | $1192568.82   | 0.04%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR2880                                                                  | CUSIP: 3138W0FW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14249 | PA      | $13236.39     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#CB2420                                                                    | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313994 | PA      | $279523.99    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 11/35 #600498                                                                          | CUSIP: 36200GDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2408 | PA      | $2517.67      | 0.00%             | 2035-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-11 LTD                                                      | CARLYLE US CLO 2021-11 LTD A1R TSFR3M+141 07/25/2037 144A                                         | CUSIP: 143122AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2843000 | PA      | $2852069.17   | 0.09%             | 2037-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/31 #781324                                                                           | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       558 | PA      | $574.40       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 7/27 #250990                                                                           | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $32.06        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO0693                                                                           | CUSIP: 3138LQXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20398 | PA      | $19310.65     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 03/01/2043#Q16049                                                                  | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6785 | PA      | $6630.00      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 1/41 #737901                                                                           | CUSIP: 3620ARX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28097 | PA      | $26653.25     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVI LTD / MAGNETITE XXVI LLC                                         | MAGNETITE XXVI LTD / MAGNETITE XXVI LLC AR2 TSFR3M+115 01/25/2038 144A                            | CUSIP: 55954YAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1997000 | PA      | $1997221.67   | 0.06%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2046#BC4760                                                                  | CUSIP: 3140F0JE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617356 | PA      | $577331.39    | 0.02%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 6.5% 11/01/2055 #TBA                                                                    | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1875000 | PA      | $1938867.19   | 0.06%             | 2055-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 07/01/2054#FS8627                                                                  | CUSIP: 3140XQSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298189 | PA      | $312170.37    | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ8934                                                                  | CUSIP: 3138MQ4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6879 | PA      | $6364.09      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                        | BX TRUST 0.8% 06/15/2023 144A                                                                     | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213047 | PA      | $212914.14    | 0.01%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                           | CELANESE US HLDGS LLC VAR 11/15/2030                                                              | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1399000 | PA      | $1444093.97   | 0.04%             | 2030-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2050#CA5122                                                                    | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533622 | PA      | $477667.08    | 0.01%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                               | CEDAR FUNDING LTD AR2 TSFR3M+136 10/20/2037 144A                                                  | CUSIP: 15033XAU0<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |   1562000 | PA      | $1566332.99   | 0.05%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                            | VERISK ANALYTICS INC 4.5% 08/15/2030                                                              | CUSIP: 92345YAM8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    758000 | PA      | $760275.60    | 0.02%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 05/01/2045#AX9659                                                                  | CUSIP: 3138YBWV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2350 | PA      | $2289.41      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 01/01/2053#RA8433                                                                  | CUSIP: 3133KQLN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721827 | PA      | $749637.79    | 0.02%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                  | HALLIBURTON CO 4.85% 11/15/2035                                                                   | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    661000 | PA      | $651008.07    | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 12/01/2040#FM5042                                                                    | CUSIP: 3140X8S81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137384 | PA      | $120479.15    | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+206.198 21 10/15/2036 144A                           | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1789733 | PA      | $1783021.50   | 0.06%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 06/20/2051#MA7418                                                                    | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    813373 | PA      | $700566.94    | 0.02%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 03/15/2042#796180                                                                    | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5185 | PA      | $5015.42      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                                          | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A                              | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4637249 | PA      | $4645940.05   | 0.14%             | 2040-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 12/20/2054#MB0093                                                                      | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1890870 | PA      | $1923618.41   | 0.06%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                         | BARINGS CLO LTD 2020-IV AR TSFR3M+137 10/20/2037 144A                                             | CUSIP: 06762BAS9<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |   2095000 | PA      | $2104299.71   | 0.07%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783261                                                                           | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170153 | PA      | $169776.31    | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 8/31 #567088                                                                           | CUSIP: 36213W6Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       867 | PA      | $896.35       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 04/01/2047#SD0978                                                                  | CUSIP: 3132DNCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1243271 | PA      | $1069995.64   | 0.03%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/28 #471043                                                                           | CUSIP: 36209GHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        98 | PA      | $99.62        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 3.4% 01/15/2028                                                                | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    489000 | PA      | $482017.26    | 0.01%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 0.0% 05/01/2041#1B8124                                                                   | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12490 | PA      | $13044.66     | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.75% 04/01/2028                                                               | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    496000 | PA      | $501171.45    | 0.02%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 12/39 #728451                                                                          | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14167 | PA      | $14404.69     | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 2/27 #444741                                                                           | CUSIP: 36207XBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        44 | PA      | $44.17        | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.623%/VAR 05/09/2029                                                 | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5903000 | PA      | $5976132.92   | 0.19%             | 2029-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 01/20/2032#MA4170                                                                    | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    603632 | PA      | $588891.03    | 0.02%             | 2032-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 01/15/2042#794559                                                                    | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1979 | PA      | $1916.96      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9239                                                                  | CUSIP: 31417GHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22962 | PA      | $21186.08     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AR0532                                                                  | CUSIP: 3138NWSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7935 | PA      | $7338.94      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13425                                                                  | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18270 | PA      | $17799.91     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 6.259% 05/01/2027                                                                       | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    645000 | PA      | $663651.89    | 0.02%             | 2027-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 3/26 #303780                                                                           | CUSIP: 31373UM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $6.13         | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 03/01/2041#MA4287                                                                    | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16056 | PA      | $14011.11     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 10/01/2055 #TBA                                                                      | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  47075000 | PA      | $37939507.81  | 1.18%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                       | COREBRIDGE GBL FUNDING 4.9% 12/03/2029 144A                                                       | CUSIP: 00138CBC1<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3060822.90   | 0.10%             | 2029-12-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.5% 01/43 #Q16224                                                                           | CUSIP: 3132J7LE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6881 | PA      | $6500.01      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2048#G67713                                                                    | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732797 | PA      | $705915.73    | 0.02%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP B TSFR1M+126.448 10/15/2036 144A                                                     | CUSIP: 36262MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241085 | PA      | $239891.36    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                              | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    234835 | PA      | $231781.96    | 0.01%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 10/27 #401788                                                                          | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $47.01        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 05/36#MA4328                                                                       | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14855 | PA      | $13334.43     | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2052#CB2906                                                                  | CUSIP: 3140QNGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150839 | PA      | $138843.80    | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5% 01/30/2029                                                                     | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1114000 | PA      | $1135893.00   | 0.04%             | 2029-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 3.25% 01/15/2031                                                               | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    313000 | PA      | $296286.02    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36300000 | PA      | $22515925.87  | 0.70%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2049#FM1534                                                                  | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    678526 | PA      | $670662.71    | 0.02%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/29 #252874                                                                          | CUSIP: 31371H2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       117 | PA      | $121.92       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 09/20/2052#MA8266                                                                    | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4358459 | PA      | $3989646.79   | 0.12%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/43#AL7261                                                                    | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86745 | PA      | $82430.96     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 5.125% 05/15/2032                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    720000 | PA      | $727086.61    | 0.02%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                       | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5229000 | PA      | $5332047.43   | 0.17%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                             | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    521000 | PA      | $477466.22    | 0.01%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 5/41 #005055                                                                        | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14141 | PA      | $14112.81     | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/01/2034#J40154                                                                    | CUSIP: 31307YE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43954 | PA      | $42701.48     | 0.00%             | 2034-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                           | BX COMMERCIAL MORTGAGE TRUST 2019-IMC B TSFR1M+141.448 04/15/2034 144A                            | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1007281 | PA      | $997208.19    | 0.03%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 6.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4100000 | PA      | $4236933.44   | 0.13%             | 2055-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                              | TEACHERS INS and ANNUITY ASSN AMER 4.9% 09/15/2044 144A                                           | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1515403.48   | 0.05%             | 2044-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #779843                                                                          | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14440 | PA      | $13997.10     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BCRED BSL STATIC CLO 2025-1 LTD / LLC                                           | BCRED BSL STATIC CLO 2025-1 A AR LTD / LLC AR TSFR3M+125 07/15/2035 144A                          | CUSIP: 05556KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2122000 | PA      | $2117588.36   | 0.07%             | 2035-07-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 19 LTD / AIMCO CLO 19 LLC                                             | AIMCO CLO 19 LTD / AIMCO CLO 19 LLC A TSFR3M+135 10/20/2037 144A                                  | CUSIP: 00140HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    758000 | PA      | $760976.67    | 0.02%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 02/01/2036#SB8088                                                                  | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16419 | PA      | $14763.55     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4% 11/15/2052                                                         | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22874000 | PA      | $20242596.54  | 0.63%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96766                                                                           | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6483 | PA      | $6497.67      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                         | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                            | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2980000 | PA      | $2988453.25   | 0.09%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.627% 6/1/41#1B8372                                                                     | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11985 | PA      | $12511.87     | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                    | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                      | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    932341 | PA      | $913685.67    | 0.03%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                              | VORNADO REALTY LP 2.15% 06/01/2026                                                                | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    578000 | PA      | $567408.68    | 0.02%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                    | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    689000 | PA      | $771954.86    | 0.02%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 5.25% 06/15/2037                                                               | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   1010000 | PA      | $983023.49    | 0.03%             | 2037-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2021-1                                                          | BARINGS CLO LTD 2021-1 A TSFR3M+128.161 04/25/2034 144A                                           | CUSIP: 06762EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2282638 | PA      | $2285632.82   | 0.07%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                             | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                             | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    647000 | PA      | $664548.39    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHLMC REMI 30YR 6% 03/01/2055#RJ3645                                                              | CUSIP: 3142GUBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    445997 | PA      | $462069.36    | 0.01%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #773473                                                                           | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10757 | PA      | $10442.04     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2051#RA4352                                                                    | CUSIP: 3133KKZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1352518 | PA      | $1101329.40   | 0.03%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2052#SD2298                                                                    | CUSIP: 3132DPRT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135661 | PA      | $111441.05    | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 12/20/2049#BR8987                                                                    | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8363 | PA      | $7690.93      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX9232                                                                  | CUSIP: 3138YBHJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22867 | PA      | $22765.96     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2042#AL2607                                                                    | CUSIP: 3138EJ3R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2027 | PA      | $1975.84      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A97152                                                                           | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15225 | PA      | $15268.23     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#MB0249                                                                  | CUSIP: 3138MTH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11416 | PA      | $10542.62     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2046#G60393                                                                  | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4408 | PA      | $4138.59      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 08/01/2037#MA3089                                                                  | CUSIP: 31418CNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21431 | PA      | $20785.15     | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/28 #780732                                                                           | CUSIP: 36225AY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       103 | PA      | $103.71       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 4/26 #343081                                                                           | CUSIP: 31375SCS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $91.02        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.55% 06/01/2034  | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1067000 | PA      | $1137119.64   | 0.04%             | 2034-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 01/31/2031                                                                           | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39100000 | PA      | $39507800.88  | 1.23%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21255                                                                  | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13108 | PA      | $12732.29     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 21-BMR E TSFR1M+186.448 6 03/15/2036 144A                                    | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288995 | PA      | $286466.29    | 0.01%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 07/20/2044#MA2074                                                                    | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2755 | PA      | $2665.65      | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                       | SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A                                                  | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    923826 | PA      | $882494.16    | 0.03%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.8% 02/14/2029                                                                  | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    311000 | PA      | $315820.08    | 0.01%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                  | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571770 | PA      | $514121.21    | 0.02%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#741529                                                                  | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6229 | PA      | $6248.18      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                                     | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278000 | PA      | $277913.13    | 0.01%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AL2884                                                                  | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35162 | PA      | $32523.39     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2051#RA5267                                                                    | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    602684 | PA      | $535155.98    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 12/15/2041#792596                                                                    | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1099 | PA      | $1065.11      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 12/49#BR8986                                                                         | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2499 | PA      | $2293.04      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 2/32 #572976                                                                           | CUSIP: 36200UQ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6273 | PA      | $6483.51      | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 06/01/2045#AZ4601                                                                  | CUSIP: 3138YWDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1986 | PA      | $1920.08      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                    | BX 2024-CNYN B TSFR1M+169.152 04/15/2029 144A                                                     | CUSIP: 05612HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546704 | PA      | $547216.28    | 0.02%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 5.5% 07/15/2034                                                          | CUSIP: 02666TAH0<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   3001000 | PA      | $3092423.75   | 0.10%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/48#ZA5379                                                                         | CUSIP: 31329N6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409800 | PA      | $393116.42    | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD AR2 TSFR3M+140 07/18/2038 144A                          | CUSIP: 64131JAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2147000 | PA      | $2152442.65   | 0.07%             | 2038-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.15%/VAR 04/23/2031                                                       | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8981000 | PA      | $9262113.92   | 0.29%             | 2031-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                             | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                    | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1278000 | PA      | $1301149.65   | 0.04%             | 2030-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2277                                                                  | CUSIP: 36183XQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1671 | PA      | $1524.68      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                               | CBRE SERVICES INC 2.5% 04/01/2031                                                                 | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   1708000 | PA      | $1544172.77   | 0.05%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                            | TANGER PROPERTIES LP 2.75% 09/01/2031                                                             | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   1346000 | PA      | $1206005.45   | 0.04%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 2/41 #737995                                                                           | CUSIP: 3620AR3C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50760 | PA      | $47988.64     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.05% 7/34 #801635                                                                       | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       710 | PA      | $725.23       | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 6.499%/VAR 03/09/2029                                                     | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2712714.16   | 0.08%             | 2029-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2051#CB0506                                                                  | CUSIP: 3140QKR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207484 | PA      | $1038064.12   | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2041#A96413                                                                    | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257601 | PA      | $252106.25    | 0.01%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/32 #569233                                                                           | CUSIP: 36200QLN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        27 | PA      | $27.70        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 11/01/2054#CB9500                                                                    | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88989 | PA      | $92550.32     | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                  | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99306 | PA      | $83807.18     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 4.25% 04/15/2026 144A                                                 | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    485000 | PA      | $484135.72    | 0.02%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 03/15/2045#AL2575                                                                    | CUSIP: 36183X2G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4490 | PA      | $4095.02      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 11/42 #AQ0170                                                                          | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28066 | PA      | $26547.60     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                         | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2215199.31   | 0.07%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 4.25% 12/01/2026                                                                     | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    544000 | PA      | $544065.62    | 0.02%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                  | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419733 | PA      | $398170.28    | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2047#AL9846                                                                  | CUSIP: 3138ER5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170658 | PA      | $170013.65    | 0.01%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 10/15/2041#775540                                                                    | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4161 | PA      | $4026.36      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NATL ASSN MCLEAN VA                                                 | CAPITAL ONE NATL ASN MCLEAN VA 4.682%/VAR 08/09/2028                                              | CUSIP: 25466AAN1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |    847000 | PA      | $877048.55    | 0.03%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6% 11/35 #AD0687                                                                             | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20062 | PA      | $20946.33     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/32 #582976                                                                           | CUSIP: 36201GT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3319 | PA      | $3418.10      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.88% 1/35 #848084                                                                       | CUSIP: 3128JR6V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       965 | PA      | $984.83       | 0.00%             | 2035-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.664%/VAR 04/17/2036                                                              | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1583000 | PA      | $1670160.20   | 0.05%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 08/15/2043#AD5682                                                                    | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2783 | PA      | $2683.32      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 14-R LTD                                                     | OHA CREDIT FUNDING 14-R LTD A TSFR3M+123 04/20/2038 144A                                          | CUSIP: 67706QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1397000 | PA      | $1398381.63   | 0.04%             | 2038-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 6/26 #366201                                                                           | CUSIP: 31376UX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       326 | PA      | $327.15       | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 5/32 #582134                                                                           | CUSIP: 36201FV38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       277 | PA      | $287.13       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 6.49%/VAR 09/13/2029                                                                 | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    642000 | PA      | $679974.26    | 0.02%             | 2029-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2052#CB2842                                                                    | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4684396 | PA      | $3815876.11   | 0.12%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 2/28 #313983                                                                           | CUSIP: 31374GXL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $40.09        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                      | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4386000 | PA      | $4410006.77   | 0.14%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2049#SD0114                                                                  | CUSIP: 3132DMDT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1028531 | PA      | $956063.17    | 0.03%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                        | OAK HILL CREDIT PARTNERS A1 TSFR3M+150 04/20/2037 144A                                            | CUSIP: 67706JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   3069000 | PA      | $3081318.97   | 0.10%             | 2037-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2050#MA4184                                                                    | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101798 | PA      | $90423.55     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.224% 4/41#1B8179                                                                       | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       864 | PA      | $901.93       | 0.00%             | 2041-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2044#V80950                                                                  | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9596 | PA      | $9315.33      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.468%/VAR 01/23/2035                                                 | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1472365.79   | 0.05%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                            | EXTENDED STAY AMERICA TRUST 2025-ESH B TSFR1M+160 10/15/2042 144A                                 | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $761424.70    | 0.02%             | 2042-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 08/01/2054#CB9061                                                                    | CUSIP: 3140QVB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6384623 | PA      | $6538386.67   | 0.20%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                             | MAGNETITE XXIII LTD AR TSFR3M+139.161 01/25/2035 144A                                             | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5340000 | PA      | $5344763.28   | 0.17%             | 2035-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 12/20/2054#787773                                                                      | CUSIP: 3622ADQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713462 | PA      | $712029.93    | 0.02%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIX LTD / MAGNETITE XXIX LLC                                         | MAGNETITE XXIX LTD / MAGNETITE XXIX LLC AR TSFR3M+135 07/15/2037 144A                             | CUSIP: 55955KAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2086000 | PA      | $2092349.78   | 0.07%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 6.375% 05/04/2028 144A                                                | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2774000 | PA      | $2893610.19   | 0.09%             | 2028-05-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 05/20/2055#MB0368                                                                    | CUSIP: 3618N5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3613804 | PA      | $3717943.35   | 0.12%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XVIII LTD                                                      | SIXTH STREET CLO XVIII LTD 2021-18A A1R TSFR3M+125 10/17/2038 144A                                | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2113000 | PA      | $2117414.06   | 0.07%             | 2038-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 9/31 #564296                                                                           | CUSIP: 36213T3D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       142 | PA      | $146.53       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#BD0997                                                                  | CUSIP: 3140F8DB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110311 | PA      | $103228.13    | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1                                        | CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A                                   | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52710 | PA      | $52385.50     | 0.00%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                    | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183400 | PA      | $183628.96    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/32#MA3218                                                                         | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141701 | PA      | $137896.83    | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 8/41 #768137                                                                           | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12782 | PA      | $12397.96     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                | ABN AMRO BANK NV 4.988%/VAR 12/03/2028 144A                                                       | CUSIP: 00084DBD1<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   9000000 | PA      | $9139266.27   | 0.28%             | 2028-12-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 07/51#QC4163                                                                         | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58012 | PA      | $47564.57     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 11/01/2033#ZT1410                                                                  | CUSIP: 3132ADR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    811691 | PA      | $794378.02    | 0.02%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2045#Q33623                                                                  | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3118 | PA      | $2964.62      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                            | VERISK ANALYTICS INC 5.125% 02/15/2036                                                            | CUSIP: 92345YAN6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   1704000 | PA      | $1719758.03   | 0.05%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   2356000 | PA      | $2329005.47   | 0.07%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2052#MA4840                                                                  | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1579795 | PA      | $1539270.14   | 0.05%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                     | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $201516.39    | 0.01%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLI LTD                                                               | MAGNETITE XLI LTD A TSFR3M+129 01/25/2038 144A                                                    | CUSIP: 55956AAA3<br>LEI: 529900IDXPZZY6034K03 | Long             | ABS-CBDO         | CORP              | KY        |   1342000 | PA      | $1345642.19   | 0.04%             | 2038-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/32 #539799                                                                           | CUSIP: 36212PUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2237 | PA      | $2303.51      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 4/41 #A97945                                                                           | CUSIP: 312946ZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97992 | PA      | $98260.27     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 08/20/2031#MA3850                                                                    | CUSIP: 36179SH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63260 | PA      | $61783.61     | 0.00%             | 2031-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 06/01/2043#Q19744                                                                  | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10308 | PA      | $10076.60     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/20/2047#784303                                                                      | CUSIP: 3622A2X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148919 | PA      | $141774.49    | 0.00%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 11/01/2054#CB9502                                                                    | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662508 | PA      | $687159.20    | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BK4845                                                                    | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17176 | PA      | $16736.41     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/40 #719262                                                                           | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22275 | PA      | $22649.21     | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 05/01/2052#RA7409                                                                    | CUSIP: 3133KPGS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363570 | PA      | $365108.18    | 0.01%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #779846                                                                          | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9097 | PA      | $8833.06      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 2.55% 12/01/2033                                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4584000 | PA      | $3903318.40   | 0.12%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 09/20/2051#MA7589                                                                    | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1936004 | PA      | $1667501.49   | 0.05%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.65% 08/15/2032                                                                 | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2206000 | PA      | $2202941.25   | 0.07%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.93% 05/01/2060                                                                        | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    908000 | PA      | $907087.51    | 0.03%             | 2060-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 11/20/2054#MB0024                                                                    | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1838967 | PA      | $1786416.66   | 0.06%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/44#Q28370                                                                    | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17782 | PA      | $17276.93     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD                                                               | MAGNETITE CLO LTD A1 TSFR3M+115 04/15/2038 144A                                                   | CUSIP: 55956CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1483000 | PA      | $1483063.77   | 0.05%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 11/30/2030                                                                       | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  88200000 | PA      | $90690961.16  | 2.82%             | 2030-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                       | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                       | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   4043000 | PA      | $4018925.96   | 0.12%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 6/40 #743475                                                                           | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7622 | PA      | $7750.12      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 12/40 #G06185                                                                          | CUSIP: 3128M8F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22167 | PA      | $22235.73     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #507037                                                                           | CUSIP: 31383MHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96 | PA      | $99.01        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A                                              | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581860 | PA      | $581860.43    | 0.02%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                        | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A                  | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2518000 | PA      | $2521146.49   | 0.08%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/50#FM3269                                                                         | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135610 | PA      | $121390.60    | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 4.375% 10/15/2028                                                               | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1860000 | PA      | $1869783.92   | 0.06%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 5.75% 08/15/2042                                                                       | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   2118000 | PA      | $2116587.59   | 0.07%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/42#G60517                                                                       | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315042 | PA      | $315937.44    | 0.01%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/1/42 #Q13148                                                                      | CUSIP: 3132HPP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16998 | PA      | $15726.50     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 09/01/2031#                                                                        | CUSIP: 31292HMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1180 | PA      | $1248.68      | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/35 #745092                                                                           | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3494 | PA      | $3662.92      | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 5.55% 06/01/2045                                                            | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    747000 | PA      | $725560.59    | 0.02%             | 2045-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.875% 10/31/2030                                                                       | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22600000 | PA      | $23755601.51  | 0.74%             | 2030-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2052#RA6799                                                                  | CUSIP: 3133KNRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132421 | PA      | $122221.90    | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8% 04/01/2027#                                                                          | CUSIP: 3128FMF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        31 | PA      | $31.43        | 0.00%             | 2027-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #888544                                                                           | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25802 | PA      | $26992.53     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2047#BE3663                                                                  | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183436 | PA      | $181539.04    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                            | EXTENDED STAY AMERICA TRUST 2025-ESH C TSFR1M+185 10/15/2042 144A                                 | CUSIP: 30227TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $370924.96    | 0.01%             | 2042-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96695                                                                           | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11416 | PA      | $11438.59     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 08/01/2034#CA4090                                                                  | CUSIP: 3140QBRL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335521 | PA      | $1308913.14   | 0.04%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6241                                                                    | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2532610 | PA      | $2071752.28   | 0.06%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 06/20/2055#MB0424                                                                    | CUSIP: 3618N5PJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3233066 | PA      | $3259203.51   | 0.10%             | 2055-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/40 #A91937                                                                           | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57194 | PA      | $58357.44     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2052#FS1647                                                                    | CUSIP: 3140XGZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052942 | PA      | $1004481.34   | 0.03%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 10/01/2041#RB5132                                                                  | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97401 | PA      | $87034.94     | 0.00%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                                      | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15200000 | PA      | $15252250.00  | 0.47%             | 2055-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030                                                     | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4751000 | PA      | $4675861.18   | 0.15%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                       | Phillips Edison Grocery Center Operating Partnership I LP 5.75% 07/15/2034                        | CUSIP: 71845JAB4<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |    473000 | PA      | $492137.59    | 0.02%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063   | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1073000 | PA      | $899169.19    | 0.03%             | 2063-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                           | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                       | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642000 | PA      | $632513.68    | 0.02%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B TSFR1M+101.328 21 10/15/2036 144A                         | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396287 | PA      | $395048.60    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2044#AS9099                                                                    | CUSIP: 3138WKDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9571 | PA      | $9741.00      | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 07/01/2041#AI6050                                                                   | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2474 | PA      | $2581.45      | 0.00%             | 2041-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 06/01/2050#RA2677                                                                    | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443163 | PA      | $364044.24    | 0.01%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                  | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2960 | PA      | $2906.79      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2052#CB3356                                                                  | CUSIP: 3140QNWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555157 | PA      | $469804.21    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/40 #AD2341                                                                           | CUSIP: 31418PS71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       906 | PA      | $907.73       | 0.00%             | 2040-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 06/20/2045#MA2893                                                                    | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53563 | PA      | $51748.52     | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                              | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                                | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886542 | PA      | $884325.99    | 0.03%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2052#SD1733                                                                    | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77622 | PA      | $77999.24     | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                             | COLUMBIA PIPELINES OPERATING CO LLC 6.036% 11/15/2033 144A                                        | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1061000 | PA      | $1132125.51   | 0.04%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                         | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                          | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |   2368000 | PA      | $2595560.47   | 0.08%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL9282                                                                  | CUSIP: 36184HJ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10012 | PA      | $9085.93      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 01/31/2029                                                                           | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28000000 | PA      | $28302968.68  | 0.88%             | 2029-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 4.78% 03/25/2038                                                                  | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1715144.24   | 0.05%             | 2038-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                          | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                      | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3419000 | PA      | $3202659.08   | 0.10%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 5.2% 09/26/2035                                                                       | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1749581.19   | 0.05%             | 2035-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                  | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413005 | PA      | $388955.90    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                  | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136404 | PA      | $127808.20    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.625% 02/15/2035                                                                       | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47300000 | PA      | $49159793.43  | 1.53%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                  | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5922 | PA      | $5588.76      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 10/01/2055 #TBA                                                                        | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7200000 | PA      | $6770214.72   | 0.21%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 09/01/2041#AI9813                                                                   | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4468 | PA      | $4665.79      | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                             | COLUMBIA PIPELINES OPERATING CO LLC 5.927% 08/15/2030 144A                                        | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    394000 | PA      | $416834.03    | 0.01%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1554000 | PA      | $1521155.76   | 0.05%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2042#ZA1228                                                                  | CUSIP: 31329JLH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227540 | PA      | $216065.59    | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 3.5% 11/15/2030                                                                  | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2609000 | PA      | $2493650.16   | 0.08%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#FS0002                                                                    | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014126 | PA      | $899230.24    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                 | NXP B V/NXP FDG LLC/NXP USA INC 5.25% 08/19/2035                                                  | CUSIP: 62954HBH0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2700000 | PA      | $2727565.46   | 0.08%             | 2035-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                           | ATHENE GLOBAL FUNDING 5.339% 01/15/2027 144A                                                      | CUSIP: 04685A3R0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   4132000 | PA      | $4189350.09   | 0.13%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 5/42 #766751                                                                           | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112010 | PA      | $105840.48    | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2046#V82275                                                                    | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305104 | PA      | $277276.23    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTDE 2025-1 TR                                                                 | ALTDE 2025-1 TR 5.9% 08/15/2050 144A                                                              | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1728648 | PA      | $1769509.75   | 0.06%             | 2050-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHLMC REMI 30YR 6.5% 06/01/2055#RJ4396                                                            | CUSIP: 3142GU3E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    791205 | PA      | $833618.92    | 0.03%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                      | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1307000 | PA      | $1308735.36   | 0.04%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 10/39 #710924                                                                          | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11289 | PA      | $11477.48     | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 4 LTD / OHA CR FDG 4 LLC                                             | OHA CR FDG 4 LTD / OHA CR FDG 4 LLC AR2 TSFR3M+129 01/22/2038 144A                                | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2452000 | PA      | $2461364.19   | 0.08%             | 2038-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/48#Q55724                                                                       | CUSIP: 3132XYLE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32257 | PA      | $31933.99     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                  | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24510 | PA      | $23847.87     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 02/01/2041#MA4269                                                                  | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282188 | PA      | $253465.54    | 0.01%             | 2041-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.3% 11/20/2026                                                                     | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    532000 | PA      | $532844.46    | 0.02%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                             | COLUMBIA PIPELINES OPERATING CO LLC 6.544% 11/15/2053 144A                                        | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    571000 | PA      | $612489.85    | 0.02%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 10/01/2055 #TBA                                                                      | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1525000 | PA      | $1390825.77   | 0.04%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    989000 | PA      | $925505.70    | 0.03%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#MA4511                                                                    | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307755 | PA      | $249540.62    | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2050#RA2457                                                                    | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280917 | PA      | $251284.68    | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2050#SD7518                                                                    | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    980585 | PA      | $879295.33    | 0.03%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 05/15/2042#766754                                                                  | CUSIP: 36176HTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32784 | PA      | $30885.86     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3.5% 02/01/2035#CA5291                                                                  | CUSIP: 3140QC2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    904506 | PA      | $885920.50    | 0.03%             | 2035-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 9/35 #550659                                                                           | CUSIP: 36213CWU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7016 | PA      | $7300.77      | 0.00%             | 2035-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                               | HEALTHPEAK OP LLC 3.25% 07/15/2026                                                                | CUSIP: 40414LAQ2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    176000 | PA      | $174735.89    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 04/01/2041#CB0116                                                                    | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46553 | PA      | $40812.05     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2045#Q34979                                                                  | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8698 | PA      | $8102.31      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/40#V82128                                                                       | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21478 | PA      | $20245.69     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                     | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13856800 | PA      | $7838834.99   | 0.24%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                           | SUBWAY FDG LLC ISSUER 6.028% 07/30/2054 144A                                                      | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3717905 | PA      | $3769889.86   | 0.12%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AH7281                                                                  | CUSIP: 36182QCS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2899 | PA      | $2625.96      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5% 09/15/2032                                                                     | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    916000 | PA      | $927208.63    | 0.03%             | 2032-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | AMGEN INC 5.15% 03/02/2028                                                                        | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1463000 | PA      | $1497153.66   | 0.05%             | 2028-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                            | PINE STR TR II 5.568% 02/15/2049 144A                                                             | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1748000 | PA      | $1657523.75   | 0.05%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH C TSFR1M+181.448 07/15/2038 144A                                   | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2105660 | PA      | $2105660.20   | 0.07%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                                     | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12830000 | PA      | $12605475.00  | 0.39%             | 2054-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 4% 04/15/2030                                                                        | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1629000 | PA      | $1608029.20   | 0.05%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 03/01/2040#FM2646                                                                  | CUSIP: 3140X55G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87955 | PA      | $79429.56     | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5095 | PA      | $5115.24      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                           | BX COMMERCIAL MORTGAGE TRUST 2019-IMC D TSFR1M+201.448 04/15/2034 144A                            | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699023 | PA      | $688537.66    | 0.02%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/46#BC1443                                                                      | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192996 | PA      | $186646.68    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2048#Q55992                                                                    | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275582 | PA      | $264697.79    | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.344% 7/35 #834917                                                                      | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       789 | PA      | $804.34       | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2032#MA3187                                                                  | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26686 | PA      | $25656.76     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 6.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0626A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1875000 | PA      | $-1937622.00  | -0.06%            | 2055-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                           | CELANESE US HLDGS LLC VAR 11/15/2028                                                              | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1381000 | PA      | $1433106.06   | 0.04%             | 2028-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 6.1% 07/15/2027                                                                | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    729000 | PA      | $751511.72    | 0.02%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.95% 09/01/2032                                                                          | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2116000 | PA      | $2122703.57   | 0.07%             | 2032-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2052#CB2679                                                                  | CUSIP: 3140QM6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72423 | PA      | $66845.24     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                              | RWE FINANCE US LLC 5.125% 09/18/2035 144A                                                         | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |   1867000 | PA      | $1841553.14   | 0.06%             | 2035-09-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #729562                                                                           | CUSIP: 3620AGQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9250 | PA      | $9406.15      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 6.421% 08/02/2033                                                                | CUSIP: 054989AB4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1130764.77   | 0.04%             | 2033-08-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19988                                                                  | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5578 | PA      | $5417.62      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 2/40 #711189                                                                           | CUSIP: 36297GC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11312 | PA      | $11290.24     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                            | JERSEY MIKES FDG LLC 5.61% 08/16/2055 144A                                                        | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1335000 | PA      | $1361516.84   | 0.04%             | 2055-08-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                  | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    935614 | PA      | $799662.21    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 3/41 #A97661                                                                           | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60010 | PA      | $60178.73     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 1/41 #004922                                                                        | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163893 | PA      | $159628.45    | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2052#SD1862                                                                    | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    786949 | PA      | $792984.68    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2047#FS0976                                                                  | CUSIP: 3140XGCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84018 | PA      | $72307.94     | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 07/15/2040#783030                                                                  | CUSIP: 36241LLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13999 | PA      | $13613.91     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2023-C21                                                   | BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056                                                  | CUSIP: 05553WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1307000 | PA      | $1407515.10   | 0.04%             | 2056-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 8/31 #567100                                                                           | CUSIP: 36213W7M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1059 | PA      | $1072.39      | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                    | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                           | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    596498 | PA      | $589035.81    | 0.02%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028                                                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5817000 | PA      | $5728250.90   | 0.18%             | 2028-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2038#AB8124                                                                  | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6942 | PA      | $6962.68      | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/38 #909209                                                                           | CUSIP: 31411JDN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25651 | PA      | $25698.59     | 0.00%             | 2038-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 11/40 #737674                                                                          | CUSIP: 3620ARQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10249 | PA      | $10420.96     | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #772063                                                                           | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14621 | PA      | $14170.80     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                            | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   1092000 | PA      | $1133399.24   | 0.04%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 10/27 #353881                                                                          | CUSIP: 36203NCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10 | PA      | $9.74         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | TRANSCONTINENTAL GAS LINE LLC 3.95% 05/15/2050                                                    | CUSIP: 893574AR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1007000 | PA      | $788810.63    | 0.02%             | 2050-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                      | EATON VANCE CLO 2020-2 LTD AR2 TSFR3M+138 10/15/2037 144A                                         | CUSIP: 27829PAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2283000 | PA      | $2288072.83   | 0.07%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.6% 02/15/2033 144A                                                                 | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4340000 | PA      | $3809951.50   | 0.12%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 6.692%/VAR 09/13/2034                                                                | CUSIP: 06738ECL7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3300000 | PA      | $3651132.24   | 0.11%             | 2034-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 06/01/2054#SD5521                                                                  | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1195433 | PA      | $1258582.34   | 0.04%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2138                                                                           | CUSIP: 3138LSLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159177 | PA      | $151367.75    | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    231000 | PA      | $204633.00    | 0.01%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/20/2048#BG3507                                                                      | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121061 | PA      | $115214.77    | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 9/26 #313264                                                                           | CUSIP: 31374F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $7.54         | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.805% 05/01/2050                                                                       | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    920000 | PA      | $919138.67    | 0.03%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2044#AS2238                                                                  | CUSIP: 3138WBPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36511 | PA      | $33412.36     | 0.00%             | 2044-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2051#FM6540                                                                  | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028217 | PA      | $886520.65    | 0.03%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2045#AZ5987                                                                  | CUSIP: 3138YXUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17817 | PA      | $16331.99     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 09/01/2053#QH0277                                                                  | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125214 | PA      | $131544.81    | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745138                                                                           | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15829 | PA      | $15797.38     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 2/36 #880258                                                                           | CUSIP: 31409V5T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1387 | PA      | $1469.84      | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                 | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                          | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     65750 | PA      | $64109.75     | 0.00%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L      | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1824356 | PA      | $1723742.49   | 0.05%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2050#RA4142                                                                  | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104284 | PA      | $89847.49     | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                                 | WESTERN-SOUTHERN GLOBAL FUNDING 4.9% 05/01/2030 144A                                              | CUSIP: 95954A2A0<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |    871000 | PA      | $889907.62    | 0.03%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #552552                                                                          | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25523 | PA      | $24728.84     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#BC6168                                                                  | CUSIP: 3140F12A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53856 | PA      | $50347.97     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 10/15/2041#757458                                                                  | CUSIP: 36230SJB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79338 | PA      | $76820.92     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 03/01/2055#CC0116                                                                    | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483630 | PA      | $501965.39    | 0.02%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.83% 10/33 #879911                                                                      | CUSIP: 31409VR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14251 | PA      | $14524.21     | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2040#V81886                                                                  | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28953 | PA      | $27654.86     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 1.5% 06/01/2051#MA4354                                                                  | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808596 | PA      | $622098.85    | 0.02%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                      | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10778 | PA      | $9885.53      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 11/30/2029                                                                       | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 123000000 | PA      | $123792773.13 | 3.85%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #733234                                                                           | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2243 | PA      | $2237.42      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2042#AK2717                                                                    | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7198 | PA      | $7012.57      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2048#Q55660                                                                  | CUSIP: 3132XYJE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81300 | PA      | $80484.66     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.375% 04/15/2040                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    404000 | PA      | $364787.50    | 0.01%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040                                                         | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    521000 | PA      | $529524.08    | 0.02%             | 2040-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/01/2051#RA5288                                                                    | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189860 | PA      | $154659.00    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN7590                                                                    | CUSIP: 36186QNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5840 | PA      | $5318.15      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NAVIGATOR AIRCRAFT ABS LTD                                                      | NAVIGATOR AIRCRAFT ABS LTD 1 A 0% 10/15/2050 144A                                                 | CUSIP: 63943GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3235000 | PA      | $3245352.00   | 0.10%             | 2050-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 11/46#MA4126                                                                           | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    871016 | PA      | $789516.44    | 0.02%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033                                                       | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2643814.70   | 0.08%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                    | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                      | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    512000 | PA      | $484085.78    | 0.02%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.283 6/1/41                                                                             | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3451 | PA      | $3600.88      | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                            | TANGER PROPERTIES LP 3.125% 09/01/2026                                                            | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   1874000 | PA      | $1852540.98   | 0.06%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2049#QA4396                                                                  | CUSIP: 31339U3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12669 | PA      | $10815.82     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#FS0208                                                                  | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114990 | PA      | $98784.16     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                               | DB MASTER FIN LLC 2.045% 11/20/2051 144A                                                          | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    847000 | PA      | $824527.73    | 0.03%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2052#SD1082                                                                    | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1179602 | PA      | $1047156.12   | 0.03%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | UBER TECHNOLOGIES INC 4.8% 09/15/2035                                                             | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   1194000 | PA      | $1183168.27   | 0.04%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CEDF 2016-6A                                                                    | CEDF 2016-6A ARR TSFR3M+131.161 04/20/2034 144A                                                   | CUSIP: 15032DAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1887884 | PA      | $1887884.00   | 0.06%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2041#                                                                        | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15170 | PA      | $15207.26     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                      | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A                  | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1349000 | PA      | $1345737.71   | 0.04%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/20/2048#BG7744                                                                      | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132108 | PA      | $125728.38    | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2052#CB5128                                                                    | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1281490 | PA      | $1291317.83   | 0.04%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG L LTD / MADISON PK FDG L LLC                                     | MADISON PK FDG L LTD / MADISON PK FDG L LLC A TSFR3M+140.161 04/19/2034 144A                      | CUSIP: 55821FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2186940 | PA      | $2188805.46   | 0.07%             | 2034-04-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ6625                                                                  | CUSIP: 3138MNLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5078 | PA      | $4662.45      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2045#AY4820                                                                  | CUSIP: 3138YJLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16065 | PA      | $15978.92     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #738885                                                                          | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49064 | PA      | $47598.70     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 4.889% 3/33 #847126                                                                      | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       120 | PA      | $122.80       | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 9/41 #Q03090                                                                           | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42259 | PA      | $42376.94     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 06/01/2043#Q19747                                                                  | CUSIP: 3132JBHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7119 | PA      | $6919.45      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                     | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1400555 | PA      | $1343196.95   | 0.04%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#CB2550                                                                  | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210426 | PA      | $180770.43    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                  | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15490 | PA      | $15057.32     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 3/29 #323688                                                                           | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        41 | PA      | $41.43        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2044#Q25265                                                                  | CUSIP: 3132M5QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34677 | PA      | $34673.05     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#Q49393                                                                  | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58104 | PA      | $57576.04     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 05/01/2041#CB0469                                                                  | CUSIP: 3140QKQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107208 | PA      | $96468.84     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2052#QE0768                                                                  | CUSIP: 3133B9Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6610782 | PA      | $6058233.41   | 0.19%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 07/01/2041#CB1076                                                                  | CUSIP: 3140QLFS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398187 | PA      | $357617.83    | 0.01%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/01/2032#J38057                                                                    | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52390 | PA      | $51064.84     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #509683                                                                           | CUSIP: 31383QFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19 | PA      | $19.64        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2048#Q54192                                                                    | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12612 | PA      | $12129.63     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.625% 08/31/2030                                                                       | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11900000 | PA      | $11838640.63  | 0.37%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                  | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153177 | PA      | $153440.61    | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 10/01/2027#                                                                        | CUSIP: 31283G3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         7 | PA      | $7.00         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ6832                                                                  | CUSIP: 3138MNSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7679 | PA      | $7190.05      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 6/27 #391266                                                                           | CUSIP: 31377YTX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1095 | PA      | $1117.09      | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 2/32 #569702                                                                           | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       185 | PA      | $191.56       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 05/01/2034#C91764                                                                  | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106668 | PA      | $104549.95    | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 10/28 #490635                                                                          | CUSIP: 36210FBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        74 | PA      | $75.77        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 2/28 #436199                                                                           | CUSIP: 36207MRU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1672 | PA      | $1693.59      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 3/28 #251570                                                                           | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        51 | PA      | $52.24        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 4/42 #C03856                                                                           | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282007 | PA      | $275488.93    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 12/01/2040#MA4204                                                                    | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14679 | PA      | $12834.07     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 03/20/2046#MA3520                                                                      | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51656 | PA      | $46855.21     | 0.00%             | 2046-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                      | COPT DEFENSE PROPERTIES LP 2.25% 03/15/2026                                                       | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    510000 | PA      | $504799.96    | 0.02%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2051#FM6560                                                                    | CUSIP: 3140XAJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17191 | PA      | $14009.27     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/01/2033#J38387                                                                    | CUSIP: 31307VJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23030 | PA      | $22388.46     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745068                                                                           | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21753 | PA      | $21709.72     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/35#BO9279                                                                       | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47537 | PA      | $45104.92     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/32 #545759                                                                           | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8480 | PA      | $8846.80      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.30% 8/36 #888199                                                                       | CUSIP: 31410FX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17736 | PA      | $18153.72     | 0.00%             | 2036-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 03/01/2054#CB8113                                                                  | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175553 | PA      | $181768.56    | 0.01%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 05/20/2052#MA8042                                                                    | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13882634 | PA      | $11964856.38  | 0.37%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 4/1/43 #AB8881                                                                       | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76147 | PA      | $70367.57     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 3.75% 05/15/2030                                                               | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    710000 | PA      | $689459.79    | 0.02%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2052#CB4893                                                                    | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79813 | PA      | $80201.10     | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4.5% 04/20/2053#MA8799                                                                    | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4163941 | PA      | $4063169.89   | 0.13%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2025-2 LTD / PALMER SQUARE LN FDG 2025-2 LLC               | PALMER SQUARE LN FDG LTD 2025-2A A1 TSFR3M+94 07/15/2033 144A                                     | CUSIP: 69704AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2158000 | PA      | $2157803.62   | 0.07%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 5/30 #479341                                                                           | CUSIP: 36209RP23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       299 | PA      | $308.11       | 0.00%             | 2030-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 10/01/2055 #TBA                                                                        | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -9500000 | PA      | $-9449559.75  | -0.29%            | 2055-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                              | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                                   | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1249128 | PA      | $1246005.39   | 0.04%             | 2030-03-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                          | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    354000 | PA      | $357019.13    | 0.01%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.65% 7/37 #942609                                                                       | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3722 | PA      | $3870.42      | 0.00%             | 2037-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                | NTT FINANCE CORP 4.876% 07/16/2030 144A                                                           | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   1128000 | PA      | $1146129.62   | 0.04%             | 2030-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2045#Q34759                                                                  | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25195 | PA      | $23006.43     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                  | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11155 | PA      | $10848.57     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLUEBERRY PARK CLO LTD                                                          | BLUEBERRY PARK CLO LTD A TSFR3M+135 10/20/2037 144A                                               | CUSIP: 09609QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2445000 | PA      | $2452264.10   | 0.08%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2033#G18684                                                                    | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20514 | PA      | $19969.72     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                      | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2893000 | PA      | $2867180.90   | 0.09%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                    | HUDSON PACIFIC PROPERTIES LP 4.65% 04/01/2029                                                     | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |   2374000 | PA      | $2209147.54   | 0.07%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 8/41 #430354                                                                           | CUSIP: 36207FBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132169 | PA      | $128138.57    | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                      | HPS CORPORATE LENDING FUND 5.45% 01/14/2028                                                       | CUSIP: 40440VAH8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |   5651000 | PA      | $5702385.50   | 0.18%             | 2028-01-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2417000 | PA      | $1992695.65   | 0.06%             | 2060-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/40 #737311                                                                           | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18420 | PA      | $18730.97     | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/41 #Q00753                                                                           | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16530 | PA      | $16567.89     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 7/28 #506236                                                                           | CUSIP: 31383LLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1050 | PA      | $1066.90      | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#FS3863                                                                    | CUSIP: 3140XKJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446352 | PA      | $366663.98    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/28 #464695                                                                           | CUSIP: 36208YGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       189 | PA      | $189.21       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 12/20/2054#MB0092                                                                    | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    575213 | PA      | $579818.05    | 0.02%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                   | BMP 2024-MF23 C TSFR1M+194.113 06/15/2041 144A                                                    | CUSIP: 05593JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581000 | PA      | $582270.94    | 0.02%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                       | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12887000 | PA      | $12927125.99  | 0.40%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                      | ARES STRATEGIC INCOME FUND 5.45% 09/09/2028 144A                                                  | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1854352.63   | 0.06%             | 2028-09-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                          | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1895246 | PA      | $1875308.01   | 0.06%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 9/41 #Q03358                                                                           | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21055 | PA      | $20582.23     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/41 #AL0913                                                                           | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104382 | PA      | $110161.84    | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                                    | WESTF 2025-A 5.582% 06/15/2050 144A                                                               | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1769643 | PA      | $1792410.60   | 0.06%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/31 #559037                                                                           | CUSIP: 36213NBE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1393 | PA      | $1438.22      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6302                                                                    | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760356 | PA      | $620093.73    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                       | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                        | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |   1453000 | PA      | $1404662.77   | 0.04%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.103%/VAR 04/22/2031                                                       | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2202000 | PA      | $2274930.11   | 0.07%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 6/28 #251822                                                                           | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       136 | PA      | $139.97       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                   | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   1792000 | PA      | $1712186.11   | 0.05%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q20358                                                                  | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5805 | PA      | $5638.99      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/51#BQ1010                                                                         | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59620 | PA      | $48789.34     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                           | BX COMMERCIAL MORTGAGE TRUST 2019-IMC C TSFR1M+171.448 04/15/2034 144A                            | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665897 | PA      | $657573.29    | 0.02%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AK4826                                                                           | CUSIP: 3138E9LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70683 | PA      | $67133.80     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                             | COLUMBIA PIPELINES OPERATING CO LLC 6.497% 08/15/2043 144A                                        | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    317000 | PA      | $338094.57    | 0.01%             | 2043-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                        | LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A                                                   | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   1255000 | PA      | $1263133.83   | 0.04%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                               | HEALTHPEAK OP LLC 3.5% 07/15/2029                                                                 | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    201000 | PA      | $194836.27    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 02/15/2045#AL2187                                                                    | CUSIP: 36183XNC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2353 | PA      | $2137.71      | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2040#V81750                                                                  | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51628 | PA      | $49349.43     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                       | MYLAN INC 4.55% 04/15/2028                                                                        | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |   1227000 | PA      | $1222215.03   | 0.04%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                     | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                | CUSIP: 00255JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1555999 | PA      | $1606669.19   | 0.05%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+121.308 21 10/15/2036 144A                           | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530325 | PA      | $528336.28    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 02/01/2041#                                                                          | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15671 | PA      | $13683.22     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                 | BAE SYSTEMS PLC 3.4% 04/15/2030 144A                                                              | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    696000 | PA      | $670803.28    | 0.02%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                        | OAK HILL CREDIT PARTNERS AR TSFR3M+135 07/20/2037 144A                                            | CUSIP: 67116CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   3605000 | PA      | $3612346.99   | 0.11%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1958000 | PA      | $1974268.14   | 0.06%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                          | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   2778000 | PA      | $2780438.22   | 0.09%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 01/01/2042#RB5142                                                                  | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199353 | PA      | $177811.23    | 0.01%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 02/34#G30703                                                                       | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2426262 | PA      | $2382124.41   | 0.07%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROJECT SILVER 2019                                                             | SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A                                    | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    979912 | PA      | $948584.62    | 0.03%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BD5294                                                                  | CUSIP: 3140FC3C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189060 | PA      | $176566.76    | 0.01%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A                              | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223602 | PA      | $152049.36    | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.572%/VAR 04/22/2036                                                       | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2615000 | PA      | $2756274.72   | 0.09%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 5.247%/VAR 07/26/2030                                                        | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2770000 | PA      | $2847250.31   | 0.09%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 12/27 #251336                                                                          | CUSIP: 31371GEH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45 | PA      | $46.00        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 04/01/2036#MA4302                                                                  | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344734 | PA      | $309437.85    | 0.01%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 2/1/43 #Q15635                                                                       | CUSIP: 3132J6V50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7021 | PA      | $6474.83      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2046#Q40085                                                                  | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247825 | PA      | $232361.59    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 6/41 #Q01208                                                                           | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10661 | PA      | $10695.06     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC                                | MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC A1 TSFR3M+117 04/15/2038 144A                    | CUSIP: 617921AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2531000 | PA      | $2532609.72   | 0.08%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2052#CB2765                                                                    | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    724975 | PA      | $590333.35    | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#FS0288                                                                    | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1982251 | PA      | $1616586.53   | 0.05%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.375% 05/15/2033                                                                       | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67451000 | PA      | $64789847.60  | 2.01%             | 2033-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GROUP OF AMERICA INC                                                | REINSURANCE GRP OF AMERICA INC 6% 09/15/2033                                                      | CUSIP: 759351AR0<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |   3764000 | PA      | $4024478.70   | 0.13%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #739706                                                                           | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12611 | PA      | $12823.48     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2 LTD                                           | PALMER SQUARE LOAN FUNDING 2024-2 LTD A1N TSFR3M+100 01/15/2033 144A                              | CUSIP: 69703RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1080753 | PA      | $1081336.01   | 0.03%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 7.1% 11/15/2027                                                                     | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2694220.57   | 0.08%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2048#Q59935                                                                    | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110626 | PA      | $106913.94    | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2050#RA3913                                                                  | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127065 | PA      | $109554.33    | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.65% 04/05/2027                                                         | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2260432.33   | 0.07%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/32 #587033                                                                           | CUSIP: 36201MEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       597 | PA      | $615.33       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                       | FLATIRON CLO 20 LTD / LLC AR TSFR3M+138 05/20/2036 144A                                           | CUSIP: 33883MAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2662000 | PA      | $2667324.00   | 0.08%             | 2036-05-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                                       | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                                  | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563000 | PA      | $577971.46    | 0.02%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BEECHWOOD PARK CLO LTD                                                          | BEECHWOOD PARK CLO LTD A1R TSFR3M+130 01/17/2035 144A                                             | CUSIP: 07355TAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2810000 | PA      | $2815226.60   | 0.09%             | 2035-01-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 06/01/2053#CB6642                                                                  | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426091 | PA      | $435395.72    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 12/01/2041#BU7091                                                                    | CUSIP: 3140M82Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    737778 | PA      | $639070.23    | 0.02%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#G67716                                                                  | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    598403 | PA      | $593151.17    | 0.02%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.25% 08/09/2042                                                                 | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1696000 | PA      | $1427015.08   | 0.04%             | 2042-08-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AB7567                                                                  | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7536 | PA      | $6969.69      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2050#MA3964                                                                  | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412793 | PA      | $352423.66    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #443873                                                                           | CUSIP: 36207WCJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       119 | PA      | $120.64       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35372                                                                             | CUSIP: 3132QR6J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13604 | PA      | $12407.80     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                                                | OPEN TR 2023-AIR TSFR1M+383.799 10/15/2028 144A                                                   | CUSIP: 68373BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    804800 | PA      | $805302.99    | 0.03%             | 2040-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 5/40 #004696                                                                        | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48385 | PA      | $48306.17     | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/32 #552505                                                                           | CUSIP: 36213EYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       959 | PA      | $994.04       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2045#Q34103                                                                  | CUSIP: 3132QQRZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4408 | PA      | $4040.81      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2050#SD7523                                                                  | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    536843 | PA      | $462526.13    | 0.01%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.705% 05/01/2040                                                                       | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    920000 | PA      | $938751.59    | 0.03%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                     | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    173380 | PA      | $170596.89    | 0.01%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2046#CB0573                                                                  | CUSIP: 3140QKT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51073 | PA      | $43970.61     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2052#                                                                        | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490123 | PA      | $451454.93    | 0.01%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW6964                                                                  | CUSIP: 3138XWW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26300 | PA      | $26200.35     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AB7273                                                                  | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24792 | PA      | $22928.70     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AR0530                                                                  | CUSIP: 3138NWSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25264 | PA      | $23346.77     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#CB2610                                                                    | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64424 | PA      | $52459.60     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #AE0746                                                                           | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20330 | PA      | $21258.42     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026                                                     | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    478000 | PA      | $477000.63    | 0.01%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                  | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12651 | PA      | $12300.17     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXI LTD 2019-21A A                                                    | MAGNETITE XXI LTD 2019-21A A AR TSFR3M+128.161 04/20/2034 144A                                    | CUSIP: 55954PAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1823166 | PA      | $1823953.61   | 0.06%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 7.25% 06/15/2037                                                            | CUSIP: 761713AT3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    909000 | PA      | $1045989.02   | 0.03%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 11/15/2032                                                                       | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38824000 | PA      | $39275935.43  | 1.22%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GILEAD AVIATION LLC                                                             | GILEAD AVIATION LLC 0% 03/15/2050 144A                                                            | CUSIP: 37556TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2937739 | PA      | $2998481.01   | 0.09%             | 2050-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/40 #AD0732                                                                           | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34301 | PA      | $36215.84     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2035#BQ5806                                                                  | CUSIP: 3140KRNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168527 | PA      | $1050710.11   | 0.03%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                             | CARRIER GLOBAL CORP 6.2% 03/15/2054                                                               | CUSIP: 14448CBD5<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    163000 | PA      | $176744.96    | 0.01%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13654                                                                  | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6662 | PA      | $6485.00      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 2.937% 11/01/2056                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1246160.12   | 0.04%             | 2056-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 11/01/2041#MA4475                                                                  | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131713 | PA      | $117688.87    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2052#FS8772                                                                  | CUSIP: 3140XQXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512865 | PA      | $438662.15    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2123                                                                           | CUSIP: 3138LSLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5968 | PA      | $5734.40      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 11/15/2042#AB9201                                                                    | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2421 | PA      | $2341.72      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2042#ZL3774                                                                  | CUSIP: 3131XKFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288079 | PA      | $273345.36    | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                         | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                                          | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297860 | PA      | $298231.98    | 0.01%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 6.75% 09/15/2037 144A                                                       | CUSIP: 23311RAA4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   1037000 | PA      | $1128205.61   | 0.04%             | 2037-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                             | COLUMBIA PIPELINES OPERATING CO LLC 6.714% 08/15/2063 144A                                        | CUSIP: 19828TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    342000 | PA      | $374924.35    | 0.01%             | 2063-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 09/01/2054#SD6620                                                                  | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1423106 | PA      | $1498282.71   | 0.05%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.375% 08/15/2042                                                     | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34200000 | PA      | $29139468.75  | 0.91%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                           | SUBWAY FDG LLC ISSUER 6.268% 07/30/2054 144A                                                      | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2210298 | PA      | $2267519.45   | 0.07%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 10/01/2051#QC9148                                                                  | CUSIP: 3133AUEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245591 | PA      | $209904.74    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2052#CB2622                                                                  | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169033 | PA      | $145211.03    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                  | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99388 | PA      | $83974.15     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/28 #457782                                                                           | CUSIP: 36208QRB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        11 | PA      | $10.67        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 4.5% 03/01/2028                                                           | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    613000 | PA      | $613919.05    | 0.02%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 10/45#MA3174                                                                         | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1971 | PA      | $1902.50      | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                   | AIA GROUP LTD 3.2% 09/16/2040 144A                                                                | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   1070000 | PA      | $841127.87    | 0.03%             | 2040-09-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AASET 2025-1 LTD / AASET 2025-1 LLC                                             | AASET 2025-1 LTD / AASET 2025-1 LLC 5.943% 02/16/2050 144A                                        | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1270658 | PA      | $1298414.50   | 0.04%             | 2050-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE5602                                                                  | CUSIP: 3140FRGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541771 | PA      | $506646.04    | 0.02%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 04/48#784805                                                                           | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343555 | PA      | $350487.71    | 0.01%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 01/01/2055#CB9828                                                                  | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183780 | PA      | $193445.62    | 0.01%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 11/01/2041#FS0106                                                                    | CUSIP: 3140XFDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    695265 | PA      | $603373.44    | 0.02%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1549000 | PA      | $1535609.42   | 0.05%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.0% 08/45#AS5634                                                                            | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86326 | PA      | $78739.95     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                         | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                     | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2904962 | PA      | $2418904.03   | 0.08%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 09/01/2054#CB9149                                                                    | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184605 | PA      | $191992.91    | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2033#ZS8686                                                                    | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21924 | PA      | $21324.01     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8% 05/01/2027#                                                                          | CUSIP: 31283HA70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $15.55        | 0.00%             | 2027-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.25% 04/15/2029                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    629000 | PA      | $647155.05    | 0.02%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 10/20/2050#MA6930                                                                      | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4870741 | PA      | $4032255.24   | 0.13%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2% 08/15/2051                                                         | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32104200 | PA      | $18808546.71  | 0.58%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 6/41 #AE1246                                                                           | CUSIP: 31419BL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29664 | PA      | $28815.04     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                              | BX Trust 2025-ROIC VAR 03/15/2030 144A                                                            | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6056379 | PA      | $6043130.87   | 0.19%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2051#SD7540                                                                  | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    506225 | PA      | $435197.71    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                     | BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027                                                     | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $1735935.51   | 0.05%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/29 #502726                                                                           | CUSIP: 31383GPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3712 | PA      | $3874.45      | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                            | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                              | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |   2870000 | PA      | $2606031.64   | 0.08%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 4/41 #Q00114                                                                           | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15507 | PA      | $15537.03     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW9240                                                                  | CUSIP: 3138XZHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19204 | PA      | $19131.85     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                              | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    952199 | PA      | $924321.43    | 0.03%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2052#FS3295                                                                    | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450387 | PA      | $452152.61    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                                          | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                                           | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158518 | PA      | $1160689.51   | 0.04%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2051#CB1872                                                                    | CUSIP: 3140QMCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921542 | PA      | $817135.39    | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 01/20/2050#BR8995                                                                    | CUSIP: 3617M77G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92794 | PA      | $85340.25     | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 7.3% 11/27/2028                                                    | CUSIP: 09261HBC0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3311334.35   | 0.10%             | 2028-11-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 2.956%/VAR 05/13/2031                                                       | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1324000 | PA      | $1241744.82   | 0.04%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                        | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                         | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    472000 | PA      | $469868.08    | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 3/28 #456712                                                                           | CUSIP: 36208PKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1042 | PA      | $1062.87      | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                  | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5625 | PA      | $5470.05      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                     | IMPERIAL BRANDS FINANCE PLC 6.125% 07/27/2027 144A                                                | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1136000 | PA      | $1172342.08   | 0.04%             | 2027-07-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 08/01/2034#C91782                                                                  | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179807 | PA      | $175844.82    | 0.01%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                         | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1751000 | PA      | $1830631.98   | 0.06%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.75% 06/30/2030                                                                        | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64800000 | PA      | $64827843.91  | 2.02%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                  | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6811 | PA      | $6428.05      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                        | MARS INC 5.65% 05/01/2045 144A                                                                    | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1278000 | PA      | $1296436.66   | 0.04%             | 2045-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 6/40 #A92350                                                                           | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19841 | PA      | $20242.52     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 04/15/2043#AD7475                                                                    | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1856 | PA      | $1798.96      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 03/15/2041#738107                                                                    | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3348 | PA      | $3251.48      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                  | SEMT 2004-6 A3B TSFR6M+130.826 7/34                                                               | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       336 | PA      | $313.78       | 0.00%             | 2034-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.228% 7/41#AI3469                                                                       | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5136 | PA      | $5363.81      | 0.00%             | 2041-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 03/01/2041#SC0136                                                                    | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109808 | PA      | $96292.50     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                | NTT FINANCE CORP 4.567% 07/16/2027 144A                                                           | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    424000 | PA      | $427057.55    | 0.01%             | 2027-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 10/01/2055 #TBA                                                                        | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -15625000 | PA      | $-15892700.00 | -0.49%            | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 7.3% 08/15/2031                                                                         | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    411000 | PA      | $473253.85    | 0.01%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                  | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484775 | PA      | $453193.63    | 0.01%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR0739                                                                  | CUSIP: 3138NWZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47405 | PA      | $43733.20     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                          | EQUITABLE HOLDINGS INC 4.35% 04/20/2028                                                           | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    433000 | PA      | $434486.30    | 0.01%             | 2028-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/40#V81744                                                                       | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26343 | PA      | $25163.64     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5% 10/01/2055 #TBA                                                                      | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8250000 | PA      | $8181357.53   | 0.25%             | 2055-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                  | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21176 | PA      | $20660.17     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 02/01/2055#SL0430                                                                    | CUSIP: 31427MPQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1868278 | PA      | $1941297.07   | 0.06%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                     | BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031                                                     | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1106598.06   | 0.03%             | 2031-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 5.95% 09/26/2055                                                                      | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1340862.52   | 0.04%             | 2055-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.5% 04/15/2050                                                                  | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    793000 | PA      | $667086.53    | 0.02%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/28 #475908                                                                           | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        53 | PA      | $53.51        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OHACP 2024-17A                                                                  | OHACP 2024-17A A TSFR3M+132 01/18/2038 144A                                                       | CUSIP: 67120MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    834000 | PA      | $835945.72    | 0.03%             | 2038-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                  | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11623 | PA      | $11328.01     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 8.3% 03/15/2028                                                    | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   2334000 | PA      | $2474534.81   | 0.08%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2041#                                                                        | CUSIP: 3132GDVM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1953 | PA      | $1957.49      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A                                   | HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A A TSFR3M+134 10/20/2037 144A                        | CUSIP: 407907AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2092000 | PA      | $2097123.31   | 0.07%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                                                           | GILDAN ACTIVEWEAR INC 4.7% 10/07/2030 144A                                                        | CUSIP: 375916AF0<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |    262000 | PA      | $261604.68    | 0.01%             | 2030-10-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 10/01/2055 #TBA                                                                      | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -8400000 | PA      | $-7230701.52  | -0.22%            | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 8/28 #482687                                                                           | CUSIP: 36209VF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       134 | PA      | $134.97       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 01/20/2050#BR8994                                                                    | CUSIP: 3617M77F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26640 | PA      | $24431.61     | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #778681                                                                          | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9965 | PA      | $9652.13      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2348                                                                    | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534388 | PA      | $437813.90    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/35 #AD0723                                                                          | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28966 | PA      | $30303.18     | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2047#Q48759                                                                  | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142615 | PA      | $141318.74    | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/32 #582173                                                                           | CUSIP: 36201FXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        75 | PA      | $77.00        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/40 #734042                                                                          | CUSIP: 3620AMP30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28822 | PA      | $27934.31     | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2035#BQ6318                                                                  | CUSIP: 3140KSAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1227676 | PA      | $1103895.68   | 0.03%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 5/45#Q33470                                                                             | CUSIP: 3132QP2C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8141 | PA      | $7433.25      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19690                                                                  | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21139 | PA      | $20606.43     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2025-1 LTD                                           | PALMER SQUARE LOAN FUNDING 2025-1 LTD A1 TSFR3M+80 02/15/2033 144A                                | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2268706 | PA      | $2266264.71   | 0.07%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                        | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                   | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    405000 | PA      | $364004.25    | 0.01%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 3.625% 03/15/2032                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    287000 | PA      | $269249.60    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 12/29 #535033                                                                          | CUSIP: 31384VLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        76 | PA      | $79.04        | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE6917                                                                  | CUSIP: 3140FSVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15526 | PA      | $14499.87     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 05/01/2040#                                                                          | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5497 | PA      | $5606.05      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                          | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                            | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    361000 | PA      | $359722.75    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 11/01/2029#                                                                        | CUSIP: 31292G6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       579 | PA      | $604.33       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                  | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10286 | PA      | $10001.53     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047 | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5834000 | PA      | $5042521.81   | 0.16%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 12/01/2035#SB8078                                                                  | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1192814 | PA      | $1072548.19   | 0.03%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/40 #A93459                                                                           | CUSIP: 312941ZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2522 | PA      | $2530.31      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #552550                                                                          | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45382 | PA      | $43970.16     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 4/26 #303856                                                                           | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66 | PA      | $65.64        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#CB1801                                                                    | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1308988 | PA      | $1073246.74   | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 7/42 #Q09199                                                                           | CUSIP: 3132GURU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31663 | PA      | $30133.50     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 9/41 #G06719                                                                           | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232677 | PA      | $233294.76    | 0.01%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                  | MORGAN STANLEY PRIVATE BANK NA 4.734%/VAR 07/18/2031                                              | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   9448000 | PA      | $9589089.53   | 0.30%             | 2031-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 5.95% 02/14/2049                                                                 | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    407000 | PA      | $415944.78    | 0.01%             | 2049-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE1526                                                                  | CUSIP: 3140FLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104024 | PA      | $97150.12     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2042#Q10217                                                                    | CUSIP: 3132HLG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5718 | PA      | $5302.28      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2037#AB8009                                                                  | CUSIP: 31417E3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4007 | PA      | $4015.47      | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#RA6506                                                                    | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51696 | PA      | $42095.18     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.0% 12/20/2042#AA5872                                                                    | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    606259 | PA      | $557664.54    | 0.02%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/32 #582105                                                                           | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       152 | PA      | $157.40       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2046#BD3322                                                                  | CUSIP: 3140FAVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60859 | PA      | $56894.15     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21835                                                                  | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19758 | PA      | $19243.40     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2050#CA7323                                                                    | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179234 | PA      | $147794.71    | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 10/27 #451506                                                                          | CUSIP: 36208HR32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        87 | PA      | $88.02        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 5.817%/VAR 02/01/2034                                                  | CUSIP: 14040HCY9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2810535.59   | 0.09%             | 2034-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                    | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                                       | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3428624 | PA      | $3437297.51   | 0.11%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2043#Q22677                                                                  | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10192 | PA      | $9894.76      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #552554                                                                          | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14827 | PA      | $14383.84     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 4.4% 04/05/2052                                                          | CUSIP: 21871XAM1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    724000 | PA      | $598090.98    | 0.02%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2036#CB2246                                                                  | CUSIP: 3140QMP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1910448 | PA      | $1797793.90   | 0.06%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 05/20/2055#MB0367                                                                      | CUSIP: 3618N5MR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10351026 | PA      | $10540810.87  | 0.33%             | 2055-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 09/01/2054#SD6419                                                                    | CUSIP: 3132DUDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404510 | PA      | $420698.45    | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2052#RA6926                                                                    | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364945 | PA      | $323968.97    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                        | MARS INC 5% 03/01/2032 144A                                                                       | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1581000 | PA      | $1617469.75   | 0.05%             | 2032-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2047#Q46222                                                                  | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37627 | PA      | $37296.52     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 04/01/2041#MA4312                                                                  | CUSIP: 31418DYJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266023 | PA      | $238867.88    | 0.01%             | 2041-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.99% 5/34 #725828                                                                       | CUSIP: 31402DLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5669 | PA      | $5727.90      | 0.00%             | 2034-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/32 #545762                                                                           | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1622 | PA      | $1691.67      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR TSFR1M+151.448 03/15/2026 144A                                               | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330648 | PA      | $328581.94    | 0.01%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15893                                                                  | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12721 | PA      | $12384.07     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.605%/VAR 04/23/2036                                                      | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2633000 | PA      | $2763204.80   | 0.09%             | 2036-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 12/30 #493530                                                                          | CUSIP: 36210JHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2918 | PA      | $3008.90      | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/45#AZ5847                                                                       | CUSIP: 3138YXP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19982 | PA      | $18285.19     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                 | MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC ARR TSFR3M+108 07/15/2034 144A                    | CUSIP: 55820BAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1390072 | PA      | $1391089.53   | 0.04%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.50% 12/40 #004881                                                                       | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49762 | PA      | $47335.34     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 04/30/2032                                                                           | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65800000 | PA      | $66182976.40  | 2.06%             | 2032-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2050#SD0430                                                                  | CUSIP: 3132DMPP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2220760 | PA      | $1906393.43   | 0.06%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2047#BM3114                                                                    | CUSIP: 3140J7N84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277001 | PA      | $251504.29    | 0.01%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2032#J37406                                                                    | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9772 | PA      | $9541.92      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 02/20/2051#MA7192                                                                      | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4498873 | PA      | $3724403.98   | 0.12%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 04/20/2031#MA3572                                                                    | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194893 | PA      | $190619.29    | 0.01%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                  | TARGA RES CORP 4.9% 09/15/2030                                                                    | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1131000 | PA      | $1148787.67   | 0.04%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/40 #747153                                                                           | CUSIP: 3620C3BW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8221 | PA      | $8359.33      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 07/01/2055#CC0730                                                                    | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1682612 | PA      | $1727867.04   | 0.05%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                         | BAYER US FIN II LLC 4.25% 12/15/2025 144A                                                         | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1338000 | PA      | $1336828.49   | 0.04%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                  | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2053 | PA      | $1996.92      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.21% 3/36 #1G1851                                                                       | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9033 | PA      | $9194.32      | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2044#Q25157                                                                  | CUSIP: 3132M5ME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56931 | PA      | $56930.72     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                               | STORE CAPITAL LLC 2.75% 11/18/2030                                                                | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |   2676000 | PA      | $2432545.39   | 0.08%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 6/41 #Q01393                                                                           | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17279 | PA      | $17334.05     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 3.7% 02/15/2026                                                         | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1472000 | PA      | $1468782.96   | 0.05%             | 2026-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2045#Q34030                                                                  | CUSIP: 3132QQPQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36223 | PA      | $33195.55     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 3.95% 07/15/2030 144A                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   2298000 | PA      | $2219013.05   | 0.07%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2046#Q39975                                                                    | CUSIP: 3132QXCM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15152 | PA      | $14629.00     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                  | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161228 | PA      | $164300.60    | 0.01%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                                         | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2039 144A                                          | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4921709 | PA      | $4924784.89   | 0.15%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                  | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735555 | PA      | $630052.36    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                 | NXP B V/NXP FDG LLC/NXP USA INC 4.85% 08/19/2032                                                  | CUSIP: 62954HBG2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    936000 | PA      | $937125.17    | 0.03%             | 2032-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                           | TMTS 2003-4HE A TSFR1M+97.448 9/34                                                                | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2011 | PA      | $2143.84      | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                  | TARGA RES CORP 5.65% 02/15/2036                                                                   | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2723000 | PA      | $2788117.20   | 0.09%             | 2036-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                      | ARES STRATEGIC INCOME FUND 5.8% 09/09/2030 144A                                                   | CUSIP: 04020EAK3<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |   1489000 | PA      | $1513140.90   | 0.05%             | 2030-09-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   4972000 | PA      | $4521785.40   | 0.14%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.829%/VAR 05/09/2027                                                                | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2670000 | PA      | $2693587.69   | 0.08%             | 2027-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 6 LTD / OHA CR FDG 6 LLC                                             | OHA CR FDG 6 LTD / OHA CR FDG 6 LLC AR2 TSFR3M+133 10/20/2037 144A                                | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1921000 | PA      | $1925349.14   | 0.06%             | 2037-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 08/01/2050#BQ0233                                                                    | CUSIP: 3140KKHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72166 | PA      | $58903.24     | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR1910                                                                  | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59221 | PA      | $54700.12     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 2.2% 06/15/2028                                                                | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    244000 | PA      | $232550.11    | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                        | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1412000 | PA      | $1500485.80   | 0.05%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-3 LTD                                                       | INVESCO US CLO 2024-3 LTD A TSFR3M+151 07/20/2037 144A                                            | CUSIP: 46148HAB4<br>LEI: 254900GU4U8LUX3GA959 | Long             | ABS-CBDO         | CORP              | JE        |   1856000 | PA      | $1864682.37   | 0.06%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/47#Q47942                                                                       | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32950 | PA      | $32660.92     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#BD8012                                                                  | CUSIP: 3140FF3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59329 | PA      | $55519.21     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 02/01/2041#RB5100                                                                    | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234115 | PA      | $204291.67    | 0.01%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2033#BJ6880                                                                    | CUSIP: 3140H8UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249199 | PA      | $241698.98    | 0.01%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 6% 10/01/2055 #TBA                                                                      | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8425000 | PA      | $8606006.07   | 0.27%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2033#MA3397                                                                  | CUSIP: 31418CX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18782 | PA      | $18025.82     | 0.00%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                | SOUTHERN COMPANY 4.85% 03/15/2035                                                                 | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1910203.35   | 0.06%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                 | ALLEGRO CLO LTD 2021-1A A1R TSFR3M+134 07/20/2038 144A                                            | CUSIP: 01750WAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1532000 | PA      | $1535883.62   | 0.05%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 06/01/2050#SD8080                                                                    | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3711276 | PA      | $3025498.91   | 0.09%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                   | BABSON CLO LTD/CAYMAN ISLANDS A1R2 TSFR3M+126 01/15/2038 144A                                     | CUSIP: 06762LAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1292000 | PA      | $1294091.75   | 0.04%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2047#Q45635                                                                  | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8038 | PA      | $7967.67      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 06/01/2053#RA9278                                                                    | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    505680 | PA      | $521967.28    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR1270                                                                  | CUSIP: 3138NXMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10147 | PA      | $9352.22      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A                                                     | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1559690 | PA      | $1552866.36   | 0.05%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2042#Q10538                                                                  | CUSIP: 3132HLS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4401 | PA      | $4067.07      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 01/20/2050#BR8996                                                                    | CUSIP: 3617M77H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95219 | PA      | $87571.02     | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2052#RA6773                                                                    | CUSIP: 3133KNQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734761 | PA      | $601286.38    | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                            | EXTENDED STAY AMERICA TRUST 2025-ESH VAR 10/15/2042 144A                                          | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4280000 | PA      | $4288025.00   | 0.13%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 08/01/2041#FM8334                                                                    | CUSIP: 3140XCHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722760 | PA      | $628591.26    | 0.02%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35579                                                                             | CUSIP: 3132QSFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18085 | PA      | $16494.87     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                           | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |   1611000 | PA      | $1538249.88   | 0.05%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                      | COPT DEFENSE PROPERTIES LP 2.75% 04/15/2031                                                       | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    509000 | PA      | $460789.68    | 0.01%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/27 #395783                                                                          | CUSIP: 31378DUG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $5.75         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/44#Q28495                                                                    | CUSIP: 3132M9C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12963 | PA      | $12566.45     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.293% 3/35 #815586                                                                      | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1165 | PA      | $1192.93      | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2045#Q31307                                                                  | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3173 | PA      | $3004.99      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  17054000 | PA      | $17425217.49  | 0.54%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 04/15/2042#792254                                                                    | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6354 | PA      | $6150.42      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/51#RA6435                                                                       | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1272932 | PA      | $1089953.76   | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2052#CB2886                                                                    | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790421 | PA      | $701426.02    | 0.02%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.50% #MA0022                                                                           | CUSIP: 31417YAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       297 | PA      | $297.32       | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 5.875% 02/01/2029                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1446000 | PA      | $1505513.73   | 0.05%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 02/29/2032                                                                       | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70000000 | PA      | $70943359.20  | 2.21%             | 2032-02-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2046#AL9371                                                                    | CUSIP: 3138ERMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610160 | PA      | $553997.91    | 0.02%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.15% 05/01/2030                                                                        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    909000 | PA      | $932775.41    | 0.03%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/41 #AH4545                                                                           | CUSIP: 3138A6BP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7067 | PA      | $6892.67      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP TSFR1M+144.348 9 11/15/2038 144A                                                | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737143 | PA      | $736451.87    | 0.02%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479596                                                                          | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1086 | PA      | $1053.54      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                  | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7912 | PA      | $7468.01      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #436779                                                                           | CUSIP: 36207NFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        56 | PA      | $56.50        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH D TSFR1M+236.448 07/15/2038 144A                                   | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865201 | PA      | $865201.16    | 0.03%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                  | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11605 | PA      | $11329.91     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 3.6% 07/01/2030                                                                    | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    615000 | PA      | $600497.49    | 0.02%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                                              | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                                   | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2038000 | PA      | $2033541.88   | 0.06%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6388                                                                  | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214759 | PA      | $184693.31    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2044#AV8482                                                                  | CUSIP: 3138XLM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16698 | PA      | $16662.39     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.125% 05/15/2040                                                     | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12353900 | PA      | $7867407.52   | 0.24%             | 2040-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                  | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71519 | PA      | $67832.42     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.5% 02/43 #Q15871                                                                           | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20685 | PA      | $19758.32     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2043#ZS3684                                                                  | CUSIP: 3132A4CV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510007 | PA      | $484238.72    | 0.02%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5% 05/15/2050                                                                  | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    742000 | PA      | $635154.17    | 0.02%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#BD2536                                                                  | CUSIP: 3140F9ZA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47124 | PA      | $44097.92     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2052#BX0507                                                                  | CUSIP: 3140N4R58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21561 | PA      | $20990.05     | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                   | HEALTHCARE REALTY HOLDINGS LP 3.1% 02/15/2030                                                     | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    402000 | PA      | $378228.61    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/48#BJ5454                                                                       | CUSIP: 3140H7BY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26495 | PA      | $26196.14     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                           | BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A                            | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780087 | PA      | $776186.58    | 0.02%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2050#FM3897                                                                    | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168046 | PA      | $138044.58    | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2043#AV3928                                                                  | CUSIP: 3138XFLJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70979 | PA      | $70941.33     | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 8% 11/01/2031                                                                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    512000 | PA      | $583664.45    | 0.02%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 11/01/2055 #TBA                                                                    | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2700000 | PA      | $2275066.71   | 0.07%             | 2055-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2039#AB0050                                                                  | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118516 | PA      | $118911.37    | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2051#RA4575                                                                  | CUSIP: 3133KLCL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3501518 | PA      | $2985059.65   | 0.09%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A                                             | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1734655 | PA      | $1733028.36   | 0.05%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                             | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC 2021-14A A1R TSFR3M+122 10/20/2038 144A                       | CUSIP: 00144GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3132569 | PA      | $3133937.93   | 0.10%             | 2038-10-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                          | BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A                                     | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758100 | PA      | $757152.38    | 0.02%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 11/20/2050#MA6994                                                                      | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2173590 | PA      | $1799412.10   | 0.06%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1422599.63   | 0.04%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2044#AV5414                                                                  | CUSIP: 3138XHAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14074 | PA      | $14061.79     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 06/01/2053#RA9161                                                                  | CUSIP: 3133KRFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516537 | PA      | $526687.18    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 9/40 #004801                                                                        | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168578 | PA      | $168277.86    | 0.01%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BC6383                                                                  | CUSIP: 3140F2CV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32678 | PA      | $30620.74     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 7/45#Q34956                                                                             | CUSIP: 3132QRQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6938 | PA      | $6360.02      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2023-1 LTD                                                             | VOYA CLO 2023-1 LTD A1 TSFR3M+180 01/20/2037 144A                                                 | CUSIP: 92920FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2387000 | PA      | $2392678.67   | 0.07%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.875% 04/15/2030                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2705000 | PA      | $2652491.97   | 0.08%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 09/01/2053#CB7134                                                                  | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552998 | PA      | $579229.27    | 0.02%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15786                                                                  | CUSIP: 3132J62U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26384 | PA      | $24370.94     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                        | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                   | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   1402000 | PA      | $1241917.59   | 0.04%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9238                                                                  | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20488 | PA      | $18896.60     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2346                                                                    | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297742 | PA      | $244864.75    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-10 LTD                                                      | CARLYLE US CLO 2021-10 LTD A1R TSFR3M+131 01/20/2038 144A                                         | CUSIP: 14316YAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1648000 | PA      | $1652640.77   | 0.05%             | 2038-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.5% 02/15/2033                                                                         | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63000000 | PA      | $61161679.53  | 1.90%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3% 10/29/2028                                  | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1295000 | PA      | $1247981.77   | 0.04%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AB7280                                                                  | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59843 | PA      | $55304.94     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2045#Q33801                                                                  | CUSIP: 3132QQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3645 | PA      | $3417.80      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 1/28 #449499                                                                           | CUSIP: 36208FKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       406 | PA      | $410.94       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                        | MSCI INC 5.25% 09/01/2035                                                                         | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   1872000 | PA      | $1887498.21   | 0.06%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/29 #501816                                                                           | CUSIP: 31383FN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       254 | PA      | $265.90       | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                       | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                               | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389846 | PA      | $379838.38    | 0.01%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                      | CITIZENS FINANCIAL GRP INC 5.841%/VAR 01/23/2030                                                  | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $9380548.62   | 0.29%             | 2030-01-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 5.25% 01/30/2031                                                                  | CUSIP: 126650DX5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    457000 | PA      | $470375.06    | 0.01%             | 2031-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                        | ARES CLO AR2 TSFR3M+131 07/15/2038 144A                                                           | CUSIP: 04017WAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2687000 | PA      | $2699056.57   | 0.08%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/37 #995073                                                                          | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35398 | PA      | $37251.71     | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/47#AL9779                                                                         | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787352 | PA      | $759971.88    | 0.02%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #511414                                                                           | CUSIP: 31383SDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $7.95         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #772072                                                                          | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4499 | PA      | $4358.89      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2376                                                                  | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665220 | PA      | $569597.33    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2052#SD8275                                                                  | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    526217 | PA      | $512718.60    | 0.02%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 6/27 #780580                                                                           | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       117 | PA      | $118.41       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#                                                                        | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174027 | PA      | $160188.05    | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2046#BD3432                                                                  | CUSIP: 3140FAY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53551 | PA      | $50062.32     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 09/01/2054#CB9216                                                                    | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7700269 | PA      | $7885717.61   | 0.25%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                        | MARS INC 5.7% 05/01/2055 144A                                                                     | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2548000 | PA      | $2580986.89   | 0.08%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 11/01/2055 #TBA                                                                        | CUSIP: 21H0606B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3325000 | PA      | $3381706.88   | 0.11%             | 2055-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2046#AS6620                                                                  | CUSIP: 3138WGLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93964 | PA      | $88047.91     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2046#BC4754                                                                    | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215146 | PA      | $207933.58    | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 6.296%/VAR 10/18/2028                                                              | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2605222.38   | 0.08%             | 2028-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 08/15/2034                                                                       | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 128800000 | PA      | $126832580.00 | 3.94%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 02/15/2042#778869                                                                  | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3517 | PA      | $3407.22      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/28 #412599                                                                           | CUSIP: 31378YKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       217 | PA      | $226.45       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2050#CA7616                                                                    | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132170 | PA      | $108118.84    | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 22 LTD / AIMCO CLO 22 LLC                                             | AIMCO CLO 22 LTD / AIMCO CLO 22 LLC A TSFR3M+150 04/19/2037 144A                                  | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   4137000 | PA      | $4153878.96   | 0.13%             | 2037-04-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                   | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    405000 | PA      | $391036.55    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                                        | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                                          | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2530313 | PA      | $2536638.86   | 0.08%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2035#CA5039                                                                    | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58219 | PA      | $56348.28     | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#670029                                                                    | CUSIP: 36295GLJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3991 | PA      | $3627.72      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                     | PAYCHEX INC 5.35% 04/15/2032                                                                      | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    377000 | PA      | $391191.45    | 0.01%             | 2032-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 4.8% 08/15/2038                                                                 | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1158000 | PA      | $1105010.19   | 0.03%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2046#G08687                                                                  | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17923 | PA      | $16781.98     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 04/01/2054#SD7569                                                                    | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    989271 | PA      | $1025771.01   | 0.03%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 2.85% 12/15/2032                                                               | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    301000 | PA      | $268600.18    | 0.01%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#CB1799                                                                    | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    967816 | PA      | $796844.74    | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 03/20/2055#MB0259                                                                    | CUSIP: 3618N5JD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1143051 | PA      | $1152291.58   | 0.04%             | 2055-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                             | EMERA US FINANCE LP 3.55% 06/15/2026                                                              | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    580000 | PA      | $576565.38    | 0.02%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2033#AB0066                                                                    | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5940 | PA      | $6024.12      | 0.00%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 4.8% 09/26/2032                                                                       | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1911000 | PA      | $1913297.92   | 0.06%             | 2032-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR3691                                                                  | CUSIP: 3138W1C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30675 | PA      | $28186.61     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                  | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97240 | PA      | $82161.54     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 5/27 #250912                                                                           | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        33 | PA      | $33.63        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                         | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2356000 | PA      | $2646247.42   | 0.08%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2045#AS4972                                                                  | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40793 | PA      | $37254.14     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                             | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC A TSFR3M+125.161 04/20/2034 144A                              | CUSIP: 00144GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3132569 | PA      | $3132569.00   | 0.10%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 03/01/2052#CB3109                                                                  | CUSIP: 3140QNN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483554 | PA      | $413742.94    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#CB2856                                                                  | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120805 | PA      | $103779.74    | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/27 #313644                                                                           | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $25.88        | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 03/15/2043#AB3930                                                                  | CUSIP: 36178QLK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50447 | PA      | $47323.03     | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 02/01/2053#CB5600                                                                  | CUSIP: 3140QRGJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243098 | PA      | $247495.43    | 0.01%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    475000 | PA      | $434012.68    | 0.01%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.45% 07/15/2028                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3009000 | PA      | $2796061.98   | 0.09%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 02/20/2052#MA7881                                                                    | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9841203 | PA      | $8480948.64   | 0.26%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 11/01/2031#                                                                        | CUSIP: 31298YN64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        45 | PA      | $47.56        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/44#Q27794                                                                    | CUSIP: 3132M8KF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11405 | PA      | $11072.92     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/40 #737454                                                                           | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12334 | PA      | $12541.14     | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 08/15/2042#AB2759                                                                  | CUSIP: 36178NB40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56516 | PA      | $53335.06     | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 03/01/2036#BR4700                                                                  | CUSIP: 3140L3GJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16666 | PA      | $14959.84     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#G61047                                                                  | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77548 | PA      | $77012.77     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                              | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                         | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113488 | PA      | $92721.55     | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2051#RA5077                                                                  | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404803 | PA      | $348511.75    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21258                                                                  | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18439 | PA      | $17948.32     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 06/36#SB8106                                                                       | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18552 | PA      | $16652.14     | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.412%/VAR 03/31/2031                                                               | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3258000 | PA      | $3252509.91   | 0.10%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1957000 | PA      | $1897311.50   | 0.06%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 3.75% 02/15/2052                                                               | CUSIP: 15135UAX7<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   2600000 | PA      | $1847335.78   | 0.06%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                          | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+81.548 1 11/15/2036 144A                            | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3628064 | PA      | $3624662.62   | 0.11%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0326A7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4400000 | PA      | $-4020327.96  | -0.12%            | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 10/28 #446737                                                                          | CUSIP: 36208CHN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1633 | PA      | $1672.04      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 2.5% 01/01/2052#FA0375                                                             | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247815 | PA      | $210489.27    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 07/20/2054#MA9777                                                                    | CUSIP: 36179Y2J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    871775 | PA      | $846863.38    | 0.03%             | 2054-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2045#AY5052                                                                  | CUSIP: 3138YJTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2360 | PA      | $2360.72      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                     | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23300000 | PA      | $16626734.38  | 0.52%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 2/42 #AJ9901                                                                           | CUSIP: 3138E3AB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31437 | PA      | $29840.19     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 43 LTD                                                             | SYMPHONY CLO 43 LTD A1 TSFR3M+152 04/15/2037 144A                                                 | CUSIP: 87170BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1886000 | PA      | $1892716.05   | 0.06%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2043#BM1167                                                                    | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86549 | PA      | $84430.59     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.25% 10/21/2025                                                    | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    696000 | PA      | $695541.60    | 0.02%             | 2025-10-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2051#FM9068                                                                  | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142481 | PA      | $121866.77    | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                  | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                      | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850545 | PA      | $850362.39    | 0.03%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/40 #741372                                                                           | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14063 | PA      | $14032.45     | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                       | INVITATION HOMES OPERATING PARTNERSHIP LP 4.95% 01/15/2033                                        | CUSIP: 46188BAH5<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |   3959000 | PA      | $3978210.18   | 0.12%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/51#SD7541                                                                         | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    907059 | PA      | $746537.06    | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.78% 10/35 #1N0063                                                                      | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        84 | PA      | $88.15        | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 12/01/2033#C91737                                                                  | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91639 | PA      | $89929.93     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.75% 04/01/2032                                                                    | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    649000 | PA      | $620797.09    | 0.02%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 5.468%/VAR 02/01/2029                                                        | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1952000 | PA      | $2001802.10   | 0.06%             | 2029-02-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 5.75% 04/01/2034                                                               | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    374000 | PA      | $388372.10    | 0.01%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                  | HALLIBURTON CO 3.8% 11/15/2025                                                                    | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17979.79     | 0.00%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 06/01/2041#MA4364                                                                    | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17201 | PA      | $14976.46     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP CAREY INC 3.85% 07/15/2029                                                                     | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    391000 | PA      | $384841.93    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                      | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   2447000 | PA      | $2455535.63   | 0.08%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                        | RR 7 LTD A1AB TSFR3M+134 01/15/2037 144A                                                          | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2626000 | PA      | $2628704.78   | 0.08%             | 2037-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                  | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6267 | PA      | $6079.52      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                 | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                             | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900291 | PA      | $863306.65    | 0.03%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 06/01/2052#QE4088                                                                    | CUSIP: 3133BDRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468704 | PA      | $470687.68    | 0.01%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                          | CEDAR FUNDING LTD 2022 A TSFR3M+132 04/20/2035 144A                                               | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2429000 | PA      | $2428990.28   | 0.08%             | 2035-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 4.05% 04/15/2030                                                                      | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    534000 | PA      | $528218.76    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                     | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1356790 | PA      | $1264916.19   | 0.04%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                         | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC A1R TSFR3M+118 04/20/2038 144A                            | CUSIP: 01749WAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1736000 | PA      | $1735338.58   | 0.05%             | 2038-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.625% 01/20/2027                                                                  | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3374000 | PA      | $3362090.86   | 0.10%             | 2027-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19764                                                                  | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6692 | PA      | $6502.22      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                 | BANK 2019-BN21 A5 2.851% 10/17/2052                                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201824 | PA      | $189673.77    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2032#MA3090                                                                    | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175546 | PA      | $171010.73    | 0.01%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 17 LTD / AIMCO CLO 17 LLC                                             | AIMCO CLO 17 LTD / AIMCO CLO 17 LLC A1R TSFR3M+135 07/20/2037 144A                                | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2147000 | PA      | $2154276.18   | 0.07%             | 2037-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN7592                                                                    | CUSIP: 36186QNH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3658 | PA      | $3315.63      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 5.1% 02/15/2036                                                                | CUSIP: 24703DBU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3190000 | PA      | $3172206.72   | 0.10%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2044#Q25146                                                                  | CUSIP: 3132M5L34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51336 | PA      | $51344.05     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/28 #313946                                                                           | CUSIP: 31374GWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $46.32        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 03/01/2053#SD7559                                                                  | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2414694 | PA      | $2474217.78   | 0.08%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    460000 | PA      | $439701.53    | 0.01%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 02/15/2045#AK6887                                                                    | CUSIP: 36183QUL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4620 | PA      | $4193.81      | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19597                                                                  | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23420 | PA      | $22774.09     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                        | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                     | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420518 | PA      | $417166.14    | 0.01%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR0938                                                                  | CUSIP: 3138NXBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3650 | PA      | $3353.44      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/31 #550143                                                                           | CUSIP: 36213CEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       308 | PA      | $318.80       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026                               | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    959000 | PA      | $958889.19    | 0.03%             | 2026-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.6% 03/09/2026                                                                     | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    673000 | PA      | $674044.19    | 0.02%             | 2026-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35375                                                                             | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8174 | PA      | $7498.27      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX6333                                                                  | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7121 | PA      | $7102.56      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY                                     | MASSACHUSETTS MUTUAL LIFE INS 3.729% 10/15/2070 144A                                              | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |   1782000 | PA      | $1198490.28   | 0.04%             | 2070-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2% 06/01/2036#SB8107                                                                    | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2381027 | PA      | $2194200.17   | 0.07%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                              | AUTONATION INC DEL 4.75% 06/01/2030                                                               | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    234000 | PA      | $235284.67    | 0.01%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                     | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1420978 | PA      | $1467251.46   | 0.05%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PAR                                                        | SIXTH STREET LENDING PAR 6.125% 07/15/2030 144A                                                   | CUSIP: 829932AE2<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |   1928000 | PA      | $1993310.29   | 0.06%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 3.375% 02/15/2030                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1564000 | PA      | $1438390.37   | 0.04%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                        | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                           | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    409000 | PA      | $425306.01    | 0.01%             | 2028-08-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2051#RA6347                                                                    | CUSIP: 3133KNBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    659851 | PA      | $585556.87    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 08/20/2043#MA1225                                                                    | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19890 | PA      | $19286.71     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 04/01/2052#SD7554                                                                  | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    717798 | PA      | $616636.29    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2055#CC0404                                                                    | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    868406 | PA      | $899971.27    | 0.03%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLAT 2025-30A                                                                   | FLAT 2025-30A A1 TSFR3M+116 04/15/2038 144A                                                       | CUSIP: 33882MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2121000 | PA      | $2118685.99   | 0.07%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NATWEST GROUP PLC 3.073%/VAR 05/22/2028                                                           | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1427000 | PA      | $1401956.15   | 0.04%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| RR 34 LTD                                                                       | RR 34 LTD A1R TSFR3M+135 10/15/2039 144A                                                          | CUSIP: 74988WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1065000 | PA      | $1068590.12   | 0.03%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/44#Q28991                                                                    | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30308 | PA      | $29379.95     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AO1215                                                                           | CUSIP: 3138LRK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41608 | PA      | $39438.74     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 09/01/2050#SD8090                                                                    | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6383269 | PA      | $5197771.39   | 0.16%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.25% 08/15/2054                                                      | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19575000 | PA      | $18070171.88  | 0.56%             | 2054-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                           | SUBWAY FDG LLC ISSUER 5.246% 07/30/2054 144A                                                      | CUSIP: 864300AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2756172 | PA      | $2756587.30   | 0.09%             | 2054-07-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 3/41 #004978                                                                        | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7262 | PA      | $7247.92      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 05/01/2043#Q18363                                                                  | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3692 | PA      | $3587.91      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 02/15/2042#616913                                                                  | CUSIP: 36290TK24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46235 | PA      | $43621.87     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                        | OAK HILL CREDIT PARTNERS A2 TSFR3M+165 04/20/2037 144A                                            | CUSIP: 67706JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    250000 | PA      | $250585.00    | 0.01%             | 2037-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 05/01/2053#FS4662                                                                  | CUSIP: 3140XLFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2149930 | PA      | $2257286.68   | 0.07%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 06/15/2045#AN5721                                                                    | CUSIP: 36186NLA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3321 | PA      | $3035.86      | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                              | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   4049000 | PA      | $3220210.19   | 0.10%             | 2048-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2041#AH4043                                                                  | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26500 | PA      | $26514.62     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#BC6149                                                                  | CUSIP: 3140F1ZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91890 | PA      | $85989.66     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2045#AZ8288                                                                  | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34732 | PA      | $31648.05     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2046#BM5096                                                                  | CUSIP: 3140J9UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848519 | PA      | $803897.32    | 0.02%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045 | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    842000 | PA      | $831818.31    | 0.03%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 08/01/2036#SB8114                                                                  | CUSIP: 3132D6AP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15273 | PA      | $13694.95     | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783262                                                                           | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56363 | PA      | $56242.97     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 6.2% 07/15/2030                                                                | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    631000 | PA      | $676853.97    | 0.02%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 3.25% 01/15/2028                                                                      | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    732000 | PA      | $719857.01    | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 02/01/2055#CB9989                                                                    | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006310 | PA      | $1042180.89   | 0.03%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2.5% 06/01/2040#QK0306                                                                  | CUSIP: 3133D3KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55419 | PA      | $50172.23     | 0.00%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 5.85% 04/06/2030                                                         | CUSIP: 37045XEG7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    953000 | PA      | $996728.49    | 0.03%             | 2030-04-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2050#MA4211                                                                    | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942441 | PA      | $837139.64    | 0.03%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #439864                                                                           | CUSIP: 36207RTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       101 | PA      | $102.20       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                                | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1385000 | PA      | $1275437.47   | 0.04%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 11/36 #995606                                                                            | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11687 | PA      | $12028.46     | 0.00%             | 2036-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2050#MA4077                                                                    | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4643921 | PA      | $3785808.22   | 0.12%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2046#BE0548                                                                  | CUSIP: 3140FKTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90625 | PA      | $84721.35     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.2% 05/12/2026                                                                      | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1908000 | PA      | $1917072.31   | 0.06%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2044#Q25069                                                                  | CUSIP: 3132M5JN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56966 | PA      | $56976.71     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/40 #G05969                                                                           | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27983 | PA      | $28535.49     | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/28 #422181                                                                          | CUSIP: 31379K6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $82.92        | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2052#FS3248                                                                    | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683536 | PA      | $686856.18    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.753% 10/33 #746320                                                                     | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1580 | PA      | $1617.62      | 0.00%             | 2033-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                               | DB MASTER FIN LLC 21-1A A23 2.791% 11/20/2051 144A                                                | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   4594012 | PA      | $4078085.60   | 0.13%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AP4325                                                                  | CUSIP: 3138M7YX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8113 | PA      | $7547.16      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND                                                         | DRYDEN SENIOR LOAN FUND A1A TSFR3M+139.161 02/20/2035 144A                                        | CUSIP: 262484AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2075083 | PA      | $2076049.99   | 0.06%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                         | SAUDI ARABIA KINGDOM OF 4.5% 04/22/2060 144A                                                      | CUSIP: 80413TAU3<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    736000 | PA      | $605360.00    | 0.02%             | 2060-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #447529                                                                           | CUSIP: 36208DEA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        43 | PA      | $43.40        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 10/26 #313182                                                                          | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175 | PA      | $176.95       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2052#FS3425                                                                  | CUSIP: 3140XJYX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716109 | PA      | $698411.06    | 0.02%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/29 #514340                                                                           | CUSIP: 31383VLV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7 | PA      | $7.54         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 12/01/2035#MA4205                                                                  | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207576 | PA      | $1085821.88   | 0.03%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 12/20/2049#BR8985                                                                    | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23620 | PA      | $21715.76     | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+141.278 21 10/15/2036 144A                           | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514682 | PA      | $512751.94    | 0.02%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.45% 02/15/2031 144A                                                                | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4340000 | PA      | $3947284.94   | 0.12%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2047#MA4381                                                                      | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16921 | PA      | $15338.00     | 0.00%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/52#RA6820                                                                         | CUSIP: 3133KNSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2610159 | PA      | $2126216.96   | 0.07%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/47#BE3749                                                                       | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144194 | PA      | $142702.80    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                            | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                              | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    560000 | PA      | $511679.63    | 0.02%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 03/20/2050#MA6541                                                                      | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420351 | PA      | $376684.51    | 0.01%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.358% 10/33 #754672                                                                     | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       567 | PA      | $575.99       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2052#MA4841                                                                    | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773225 | PA      | $771181.45    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                  | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30298 | PA      | $29909.27     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR5360                                                                  | CUSIP: 3138W25W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21060 | PA      | $19396.02     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 5.5% 02/15/2049                                                                           | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1036000 | PA      | $964469.31    | 0.03%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 4.5% 01/30/2026                                                              | CUSIP: 254709AP3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1437000 | PA      | $1437304.40   | 0.04%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                         | BPR COML MTG TR 2024-PARK A VAR 11/05/2039 144A                                                   | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4579000 | PA      | $4667262.97   | 0.15%             | 2039-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 04/15/2046#784232                                                                    | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    421366 | PA      | $405810.54    | 0.01%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR4275                                                                  | CUSIP: 3138W1XD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2339 | PA      | $2212.26      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/51#QC1514                                                                         | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103891 | PA      | $85245.81     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 04/39#FM1039                                                                       | CUSIP: 3140X4EM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4843 | PA      | $4689.92      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 09/01/2054#SD7574                                                                    | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181238 | PA      | $187414.88    | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 5.088%/VAR 06/20/2030                                                                | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2253000 | PA      | $2283212.05   | 0.07%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 4.45% 09/26/2030                                                                      | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1146000 | PA      | $1145437.73   | 0.04%             | 2030-09-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 08/01/2041#CB1342                                                                  | CUSIP: 3140QLP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636558 | PA      | $571525.99    | 0.02%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 5/42 #766750                                                                           | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81768 | PA      | $77244.10     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #443199                                                                           | CUSIP: 36207VKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        14 | PA      | $13.88        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                  | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    810000 | PA      | $751650.65    | 0.02%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 2/40 #711188                                                                           | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1301 | PA      | $1298.55      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2047#Q47935                                                                  | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73130 | PA      | $72487.74     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                         | BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A                                           | CUSIP: 05612GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    841185 | PA      | $842236.76    | 0.03%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/29 #487575                                                                           | CUSIP: 36210BT88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       829 | PA      | $846.86       | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 5/46#Q40310                                                                          | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48828 | PA      | $44374.21     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2045#AU2444                                                                  | CUSIP: 3138X1WE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16263 | PA      | $14752.87     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2045#G07949                                                                    | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171074 | PA      | $166169.66    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13381                                                                  | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       644 | PA      | $636.04       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 01/20/2051#MA7135                                                                      | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20477857 | PA      | $16952647.37  | 0.53%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #738886                                                                          | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22865 | PA      | $22210.35     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 7/37 #G03508                                                                           | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1646 | PA      | $1737.78      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/42 #AL2128                                                                           | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3270 | PA      | $3454.87      | 0.00%             | 2042-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 03/20/2031#MA3496                                                                    | CUSIP: 36179R3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52170 | PA      | $51026.40     | 0.00%             | 2031-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS VII LTD                                                     | OHA CREDIT PARTNERS VII LTD AR4 TSFR3M+114 02/20/2038 144A                                        | CUSIP: 67102QBK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1936000 | PA      | $1935028.13   | 0.06%             | 2038-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 4.926% 05/15/2037 144A                                                               | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1640588.36   | 0.05%             | 2037-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/28 #251409                                                                           | CUSIP: 31371GGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        71 | PA      | $74.34        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.493%/VAR 03/24/2031                                                       | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3926000 | PA      | $3962855.87   | 0.12%             | 2031-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                          | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                  | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1376766 | PA      | $1377196.19   | 0.04%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX4256                                                                  | CUSIP: 3138Y5WS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10437 | PA      | $10391.07     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.04% 05/01/2027                                                                        | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    909000 | PA      | $918737.73    | 0.03%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2041#                                                                        | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14575 | PA      | $14616.12     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.451% 11/35 #1G1790                                                                     | CUSIP: 3128QJ7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       651 | PA      | $674.77       | 0.00%             | 2035-11-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/26 #250551                                                                           | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        60 | PA      | $59.80        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | BARCLAYS PLC 6.224%/VAR 05/09/2034                                                                | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2277000 | PA      | $2449548.49   | 0.08%             | 2034-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGNETITE IX LTD / MAGNETITE IX LLC                                             | MAGNETITE IX LTD /LLC AR TSFR3M+135 10/25/2037 144A                                               | CUSIP: 55953UAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2357478 | PA      | $2363430.63   | 0.07%             | 2037-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/32#MA3125                                                                         | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30308 | PA      | $29517.67     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 11/01/2055 #TBA                                                                        | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4750000 | PA      | $4718471.40   | 0.15%             | 2055-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 07/31/2032                                                                           | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30200000 | PA      | $30341562.50  | 0.94%             | 2032-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 02/01/2034#G16752                                                                  | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121526 | PA      | $118663.27    | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 04/01/2036#SB8097                                                                  | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17844 | PA      | $16017.01     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 1999-57 PH 6.5% 12/29                                                                         | CUSIP: 31359XGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      8367 | PA      | $8587.11      | 0.00%             | 2029-12-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                     | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $246615.41    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                              | PEACE PARK CLO LTD 2021-1A AR TSFR3M+125 10/20/2038 144A                                          | CUSIP: 70470MAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    761000 | PA      | $763244.95    | 0.02%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                           | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3.625% 01/15/2032                           | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    320000 | PA      | $298292.27    | 0.01%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 3/30 #479229                                                                           | CUSIP: 36209RLJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       575 | PA      | $591.90       | 0.00%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                 | AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC ARR TSFR3M+150 04/16/2037 144A                    | CUSIP: 00900PAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2577000 | PA      | $2587418.81   | 0.08%             | 2037-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2052#RA6620                                                                  | CUSIP: 3133KNK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1142749 | PA      | $975984.55    | 0.03%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 3.8% 01/31/2028                                                              | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2165000 | PA      | $2148244.48   | 0.07%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                             | CARRIER GLOBAL CORP 5.9% 03/15/2034                                                               | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    262000 | PA      | $281137.39    | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 09/01/2041#FM8850                                                                  | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172829 | PA      | $154586.86    | 0.00%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 7.125% 03/15/2033                                                                       | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    308000 | PA      | $357427.94    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 06/01/2051#FS4922                                                                    | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1834973 | PA      | $1641987.80   | 0.05%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ8634                                                                  | CUSIP: 3138MQSY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24293 | PA      | $22351.87     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2047#Q51124                                                                    | CUSIP: 3132XTHA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3798 | PA      | $3656.45      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                        | MARS INC 5.2% 03/01/2035 144A                                                                     | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1314000 | PA      | $1343087.40   | 0.04%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                            | JERSEY MIKE'S FUNDING 4.433% 02/15/2050 144A                                                      | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3255425 | PA      | $3251491.14   | 0.10%             | 2050-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                           | SUBWAY FDG LLC ISSUER 6.505% 07/30/2054 144A                                                      | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1938352 | PA      | $2023730.34   | 0.06%             | 2054-07-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35367                                                                             | CUSIP: 3132QR6D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13172 | PA      | $12109.00     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 08/31/2032                                                                       | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6200000 | PA      | $6181593.75   | 0.19%             | 2032-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO 43 LTD                                              | BENEFIT STREET PARTNERS CLO 43 LTD A TSFR3M+ 10/20/2038 144A                                      | CUSIP: 08179QAA8<br>LEI: 254900TPMKEES6UQHQ33 | Long             | ABS-CBDO         | CORP              | KY        |   2227000 | PA      | $2227959.84   | 0.07%             | 2038-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2044#AS2751                                                                  | CUSIP: 3138WCBV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30063 | PA      | $30027.44     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FDG LLC                                                            | JERSEY MIKES FDG LLC 5.636% 02/15/2055 144A                                                       | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1791000 | PA      | $1825461.71   | 0.06%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.14%/VAR 01/24/2031                                                        | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4647288.78   | 0.14%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                     | PAYCHEX INC 5.1% 04/15/2030                                                                       | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    271000 | PA      | $278868.06    | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2036#745512                                                                    | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258284 | PA      | $270572.37    | 0.01%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 4.194%/VAR 04/01/2031 144A                                                           | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2950000 | PA      | $2916499.71   | 0.09%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2986000 | PA      | $2967471.24   | 0.09%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #510172                                                                           | CUSIP: 31383QW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97 | PA      | $99.79        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2046#BE1891                                                                  | CUSIP: 3140FMC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26743 | PA      | $25001.26     | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 05/01/2042#FS4603                                                                    | CUSIP: 3140XLDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5309786 | PA      | $4638872.89   | 0.14%             | 2042-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 10/01/2041#CB1842                                                                  | CUSIP: 3140QMBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376580 | PA      | $338088.02    | 0.01%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                            | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   6199000 | PA      | $6448582.40   | 0.20%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3% 10/01/2055 #TBA                                                                      | CUSIP: 01F0306A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -12600000 | PA      | $-11066835.78 | -0.34%            | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 11/01/2041#CB2110                                                                    | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553389 | PA      | $480173.08    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2042#AJ6217                                                                    | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2597 | PA      | $2533.89      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 6.298% 05/01/2029                                                                       | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    827000 | PA      | $877651.26    | 0.03%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 6.15% 09/15/2043                                                            | CUSIP: 761713AZ9<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   1227000 | PA      | $1259470.84   | 0.04%             | 2043-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.5% 04/15/2030                                                                     | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1185335.92   | 0.04%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/39 #664574                                                                           | CUSIP: 36295AJT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       904 | PA      | $919.40       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/1/42 #Q13634                                                                      | CUSIP: 3132HQBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67915 | PA      | $63481.96     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                        | MARS INC 4.8% 03/01/2030 144A                                                                     | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2106000 | PA      | $2145544.85   | 0.07%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                               | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                           | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   1710325 | PA      | $1691083.84   | 0.05%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                  | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1705851 | PA      | $1429727.76   | 0.04%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 01/31/2032                                                                       | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16400000 | PA      | $16853562.50  | 0.52%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #782989                                                                           | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32237 | PA      | $32167.98     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP D TSFR1M+169.268 82 11/15/2038 144A                                             | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    484482 | PA      | $484028.01    | 0.02%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 02/15/2045#AL3843                                                                  | CUSIP: 36184AHU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5218 | PA      | $4743.38      | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/41 #738229                                                                           | CUSIP: 3620ASEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3042 | PA      | $3092.97      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                  | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62230 | PA      | $62324.15     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783295                                                                           | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213955 | PA      | $213317.93    | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3133KMR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1813578 | PA      | $1669927.66   | 0.05%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  32425000 | PA      | $27315530.11  | 0.85%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#FM9501                                                                  | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1841967 | PA      | $1577768.49   | 0.05%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #754197                                                                           | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2730 | PA      | $2643.87      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 06/01/2053#CB6538                                                                    | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2666763 | PA      | $2760155.81   | 0.09%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2033#MA3246                                                                  | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22756 | PA      | $21869.25     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 4.9% 12/15/2048                                                                 | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1157000 | PA      | $1038630.21   | 0.03%             | 2048-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 1/1/43 #Q14696                                                                       | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57099 | PA      | $52840.34     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 4.927%/VAR 05/10/2028                                                        | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2323687.77   | 0.07%             | 2028-05-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AB8610                                                                  | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31179 | PA      | $28815.24     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 07/01/2041#SC0162                                                                    | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1636853 | PA      | $1431739.87   | 0.04%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 2.49%/VAR 01/06/2028                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1754000 | PA      | $1711485.86   | 0.05%             | 2028-01-06      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #510166                                                                           | CUSIP: 31383QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       500 | PA      | $521.16       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 2.5% 09/20/2051#785616                                                                    | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492199 | PA      | $420245.07    | 0.01%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 5/40 #AL2129                                                                           | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47482 | PA      | $50083.68     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                  | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34186 | PA      | $33949.80     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 3.6% 05/01/2030                                                                      | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1602000 | PA      | $1551306.60   | 0.05%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/41 #738218                                                                           | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4433 | PA      | $4508.99      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AR1680                                                                  | CUSIP: 3138NX2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3175 | PA      | $2959.51      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/39 #723339                                                                           | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8671 | PA      | $8815.84      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2050#CA5966                                                                  | CUSIP: 3140QDTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365807 | PA      | $315167.56    | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    692000 | PA      | $703882.17    | 0.02%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 09/01/2041#FM8862                                                                    | CUSIP: 3140XCZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472058 | PA      | $409810.33    | 0.01%             | 2041-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.75% 02/15/2028                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   2029000 | PA      | $2046059.06   | 0.06%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.419% 04/15/2033 144A                                                               | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    392000 | PA      | $362785.97    | 0.01%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 6.528% 05/01/2034                                                                       | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    670000 | PA      | $740662.33    | 0.02%             | 2034-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2046#G61420                                                                  | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94383 | PA      | $88770.77     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                               | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2893000 | PA      | $2581998.77   | 0.08%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR3682                                                                  | CUSIP: 3138W1CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11139 | PA      | $10304.28     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/40 #783143                                                                          | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11675 | PA      | $11342.03     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 01/01/2027#                                                                        | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $31.87        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Cash Central Fund                                                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        | 140650525 | NS      | $140678654.67 | 4.37%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 12/20/2031#MA4102                                                                    | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322589 | PA      | $314798.32    | 0.01%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2044#AX6700                                                                  | CUSIP: 3138Y8NS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6035 | PA      | $6011.77      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                                            | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                                        | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1812000 | PA      | $1832895.62   | 0.06%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 07/15/2043#AF0101                                                                  | CUSIP: 36181FDE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74263 | PA      | $69600.20     | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 5.625% 09/01/2028                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1311000 | PA      | $1352911.03   | 0.04%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2046#BD4423                                                                  | CUSIP: 3140FB4H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93583 | PA      | $87486.32     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2042#Q13420                                                                  | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11106 | PA      | $10819.63     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 07/20/2051#MA7472                                                                    | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1910748 | PA      | $1645748.24   | 0.05%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                 | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1187000 | PA      | $1079422.43   | 0.03%             | 2039-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A                            | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2648253 | PA      | $2641648.52   | 0.08%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 7 LP                                                      | PK ALIFT LOAN FUNDING 7 LP 4.75% 03/15/2043 144A                                                  | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2425000 | PA      | $2425242.50   | 0.08%             | 2043-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 3/1/43 #AT0170                                                                     | CUSIP: 3138WMFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62031 | PA      | $58701.80     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                           | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3% 05/15/2032                               | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   3400000 | PA      | $3041891.94   | 0.09%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #743665                                                                           | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7736 | PA      | $7866.40      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2052#RA7375                                                                    | CUSIP: 3133KPFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3421646 | PA      | $3041741.05   | 0.09%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 10/40 #004833                                                                       | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79863 | PA      | $77801.53     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 6.174%/VAR 05/25/2034                                                               | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1574000 | PA      | $1674757.25   | 0.05%             | 2034-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2051#FM6338                                                                    | CUSIP: 3140XABG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16457 | PA      | $13405.88     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/32 #735415                                                                          | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2948 | PA      | $3075.34      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SLAM 2025-1                                                                     | SLAM 2025-1 5.807% 05/15/2050 144A                                                                | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1435593 | PA      | $1472653.82   | 0.05%             | 2050-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 4.65% 07/15/2042                                                                     | CUSIP: 20030NBE0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    779000 | PA      | $706940.38    | 0.02%             | 2042-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 01/01/2036#SB8083                                                                  | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    566503 | PA      | $509384.88    | 0.02%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 03/15/2045#AL5046                                                                    | CUSIP: 36184BTB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4892 | PA      | $4441.44      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 3.35% 03/15/2032                                                                      | CUSIP: 30161NBE0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    546000 | PA      | $510063.65    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC                                       | CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC A1R2 TSFR3M+127 10/15/2038 144A                         | CUSIP: 12554XAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2120000 | PA      | $2125024.40   | 0.07%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.45% 09/29/2027                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5245000 | PA      | $5266348.78   | 0.16%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                  | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13380 | PA      | $13096.38     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2052#QD4275                                                                    | CUSIP: 3133B1XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    717755 | PA      | $636941.61    | 0.02%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.5% 02/43 #Q15869                                                                           | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55438 | PA      | $52757.81     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 12/15/2042#AB8144                                                                    | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2587 | PA      | $2504.88      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                         | SIMON PROPERTY GROUP LP 2.45% 09/13/2029                                                          | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    499000 | PA      | $468460.06    | 0.01%             | 2029-09-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AB7497                                                                  | CUSIP: 31417EKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8399 | PA      | $7756.59      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                         | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    688000 | PA      | $684846.03    | 0.02%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 03/01/2044#Q25226                                                                  | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13879 | PA      | $13475.26     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.35% 04/01/2027                                                                    | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    211000 | PA      | $208937.69    | 0.01%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2042#Q13899                                                                  | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5984 | PA      | $5852.28      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                           | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC A1R2 TSFR3M+138 07/15/2037 144A                             | CUSIP: 26246BAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2806000 | PA      | $2815978.14   | 0.09%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                                | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2830547 | PA      | $2827893.75   | 0.09%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                               | CIGNA GROUP (THE) 3.05% 10/15/2027                                                                | CUSIP: 125523AZ3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    982000 | PA      | $957860.41    | 0.03%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 11/01/2041#BU6530                                                                    | CUSIP: 3140M8HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312841 | PA      | $271362.28    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.25% 01/15/2029  | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1023044.63   | 0.03%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 11/01/2041#FM9558                                                                  | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202540 | PA      | $180792.65    | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 10/41 #005280                                                                       | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    561076 | PA      | $545575.71    | 0.02%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                             | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1267521.71   | 0.04%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                 | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4656000 | PA      | $4129884.06   | 0.13%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2050#FM7147                                                                  | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1018316 | PA      | $945931.50    | 0.03%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 12/01/2044#Q30848                                                                  | CUSIP: 3132QL5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13647 | PA      | $12395.51     | 0.00%             | 2044-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                  | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57679 | PA      | $48808.46     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 10/20/2052#MA8346                                                                      | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3128718 | PA      | $2968096.09   | 0.09%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 06/01/2041#FM7891                                                                    | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33617 | PA      | $29465.66     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2043#AQ9316                                                                  | CUSIP: 3138MRK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501987 | PA      | $446681.71    | 0.01%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12570 | PA      | $12597.77     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2045#Q34104                                                                  | CUSIP: 3132QQR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13567 | PA      | $12435.67     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2033#G18681                                                                    | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43517 | PA      | $42373.24     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                           | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                       | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334000 | PA      | $327419.00    | 0.01%             | 2039-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                 | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                            | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    179959 | PA      | $178162.86    | 0.01%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #435836                                                                           | CUSIP: 36207MEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       328 | PA      | $333.03       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD / ARES XLI CLO LLC                                             | ARES XLI CLO LTD / ARES XLI CLO LLC AR2 TSFR3M+133.161 04/15/2034 144A                            | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   2173138 | PA      | $2174811.32   | 0.07%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                  | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95315 | PA      | $80597.69     | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/47#784304                                                                           | CUSIP: 3622A2X98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157171 | PA      | $149630.17    | 0.00%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                    | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970200 | PA      | $970503.20    | 0.03%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.409% 5/35 #829985                                                                      | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2019 | PA      | $2069.78      | 0.00%             | 2035-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 11/15/2042#AB9211                                                                  | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103975 | PA      | $98026.42     | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 7/40 #004746                                                                        | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36938 | PA      | $36874.62     | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/27 #190289                                                                          | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       266 | PA      | $278.46       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                  | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93378 | PA      | $79018.99     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                         | BX COML MTG TR 2024-XL5 C TSFR1M+194.087 03/15/2039 144A                                          | CUSIP: 05612GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1116649 | PA      | $1118393.55   | 0.03%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AX4421                                                                  | CUSIP: 3138Y54F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61679 | PA      | $61445.96     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#727139                                                                  | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30661 | PA      | $30760.87     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/28 #457547                                                                          | CUSIP: 31381DHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $3.24         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#AL9547                                                                    | CUSIP: 3138ERTD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753513 | PA      | $684155.93    | 0.02%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.25% 09/24/2027                                                                        | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    752000 | PA      | $752814.03    | 0.02%             | 2027-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 4/41 #762904                                                                           | CUSIP: 36176DKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23203 | PA      | $23141.83     | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3% 10/01/2055 #TBA                                                                      | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13000000 | PA      | $11418163.90  | 0.35%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032                                                          | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1076000 | PA      | $1027365.07   | 0.03%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN8980                                                                    | CUSIP: 36186S6R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6306 | PA      | $5701.63      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 09/20/2031#MA3913                                                                    | CUSIP: 36179SK22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25409 | PA      | $24815.94     | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR0910                                                                  | CUSIP: 3138NXAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8276 | PA      | $7669.38      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 7/41 #769093                                                                           | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8855 | PA      | $8585.15      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2051#MA4237                                                                    | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198632 | PA      | $161990.10    | 0.01%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AK7286                                                                  | CUSIP: 36183RCX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1430 | PA      | $1297.66      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13653                                                                  | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13178 | PA      | $12857.31     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                | GMF FLOORPLAN OWNER REVOLVING TR 4.73% 11/15/2029 144A                                            | CUSIP: 361886DQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1690000 | PA      | $1714128.64   | 0.05%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#RA6510                                                                    | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1323658 | PA      | $1084446.94   | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2350                                                                    | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767920 | PA      | $628181.81    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/47#Q48876                                                                       | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42598 | PA      | $42303.78     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE5530                                                                  | CUSIP: 3140FREC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68498 | PA      | $63971.22     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2045#AY7630                                                                  | CUSIP: 3138YMPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3515 | PA      | $3231.68      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2043#Q16935                                                                  | CUSIP: 3132J8EH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90998 | PA      | $86352.72     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                  | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1814000 | PA      | $1740471.31   | 0.05%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 5.6% 04/01/2044                                                             | CUSIP: 23311VAF4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    376000 | PA      | $364848.39    | 0.01%             | 2044-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 2.45% 06/01/2030                                                             | CUSIP: 26441CBH7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    854000 | PA      | $785967.20    | 0.02%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #772060                                                                           | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12423 | PA      | $12049.69     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XX LTD                                                         | SIXTH STREET CLO XX LTD 2021-20A A1R TSFR3M+132 07/17/2038 144A                                   | CUSIP: 83012QAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1771000 | PA      | $1776794.71   | 0.06%             | 2038-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XVII CLO LTD                                                          | CEDAR FDG XVII CLO LTD AR TSFR3M+135 07/20/2038 144A                                              | CUSIP: 15033PAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1848000 | PA      | $1854503.11   | 0.06%             | 2038-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2050#SD8106                                                                    | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100978 | PA      | $82161.04     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.15% 4/35 #1N0006                                                                       | CUSIP: 3128QGAF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7399 | PA      | $7531.24      | 0.00%             | 2035-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 1/28 #415853                                                                           | CUSIP: 31379C5N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       248 | PA      | $252.89       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 07/01/2053#RA9373                                                                  | CUSIP: 3133KRMW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4413104 | PA      | $4499823.54   | 0.14%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 3/39 #697924                                                                           | CUSIP: 36296QLD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6536 | PA      | $6642.90      | 0.00%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 12/40 #AH1016                                                                          | CUSIP: 3138A2DW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2041 | PA      | $2003.52      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-1 LTD                                                      | EATON VANCE CLO 2020-1 LTD ARR TSFR3M+139 10/15/2037 144A                                         | CUSIP: 278300AS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2219000 | PA      | $2224252.37   | 0.07%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2% 11/15/2041                                                         | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16500000 | PA      | $11587382.73  | 0.36%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                    | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    312000 | PA      | $297492.82    | 0.01%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                     | BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028                                                      | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   1193000 | PA      | $1192187.56   | 0.04%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21605                                                                  | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15360 | PA      | $14961.21     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 3/38 #889219                                                                           | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12705 | PA      | $13417.13     | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.91%/VAR 05/24/2033                                                                | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3492000 | PA      | $3534198.06   | 0.11%             | 2033-05-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 4.1% 02/09/2027                                                              | CUSIP: 254709AM0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    875000 | PA      | $873546.41    | 0.03%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 06/01/2044#Q26541                                                                  | CUSIP: 3132M65A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10177 | PA      | $9868.15      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2050#SD8115                                                                    | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559934 | PA      | $497370.85    | 0.02%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 5/28 #428795                                                                           | CUSIP: 31379TKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       539 | PA      | $553.70       | 0.00%             | 2028-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LTD / ARES LVIII CLO LLC                                         | ARES LVIII CLO LTD / ARES LVIII CLO LLC A1R2 TSFR3M+124 04/15/2038 144A                           | CUSIP: 04018AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2126000 | PA      | $2128929.63   | 0.07%             | 2038-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/39 #698474                                                                           | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37897 | PA      | $37830.08     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/41 #Q02511                                                                           | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2289 | PA      | $2295.92      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/39 #G05457                                                                           | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47079 | PA      | $47246.71     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                   | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1388623.83   | 0.04%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #511104                                                                           | CUSIP: 31383RX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       384 | PA      | $400.19       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 02/01/2036#FM5367                                                                  | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13433 | PA      | $12078.78     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.691%/VAR 06/05/2028                                               | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  12774000 | PA      | $12682128.24  | 0.39%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2051#CB2164                                                                    | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1184232 | PA      | $1054226.72   | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 06/20/2054#MA9719                                                                    | CUSIP: 36179YYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431475 | PA      | $371802.97    | 0.01%             | 2054-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 2.5% 08/20/2051#785575                                                                    | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559156 | PA      | $477413.89    | 0.01%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 10/20/2052#MA8345                                                                    | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332836 | PA      | $304671.06    | 0.01%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/46#BC0287                                                                       | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10482 | PA      | $10396.83     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2047#Q53017                                                                  | CUSIP: 3132XVK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176271 | PA      | $174614.34    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/27 #366829                                                                           | CUSIP: 31376VPN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       176 | PA      | $184.21       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 07/01/2041#CB1069                                                                    | CUSIP: 3140QLFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443948 | PA      | $387731.85    | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2046#BC9026                                                                    | CUSIP: 3140F5A45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773252 | PA      | $702077.91    | 0.02%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                      | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43542800 | PA      | $29544469.94  | 0.92%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 2.55% 03/21/2031                                                       | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1698000 | PA      | $1543838.53   | 0.05%             | 2031-03-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 08/20/2045#MA3035                                                                    | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    387804 | PA      | $374427.10    | 0.01%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 8/37 #G06089                                                                           | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16978 | PA      | $17885.07     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   6634000 | PA      | $6575952.50   | 0.20%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 02/01/2028#                                                                        | CUSIP: 31292GUK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $27.61        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2046#Q45028                                                                  | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8140 | PA      | $8068.93      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #353415                                                                           | CUSIP: 36203MSC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       368 | PA      | $371.79       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/41 #489862                                                                          | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31244 | PA      | $30295.84     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2043#Q23023                                                                  | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114876 | PA      | $111940.81    | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/47#Q48877                                                                         | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195322 | PA      | $188339.78    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.25% 02/15/2054                                                      | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67700000 | PA      | $62490273.78  | 1.94%             | 2054-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/27 #404846                                                                          | CUSIP: 31378PWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       222 | PA      | $226.15       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ1978                                                                  | CUSIP: 3138MHFU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18032 | PA      | $16575.92     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2043#Q20763                                                                  | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10055 | PA      | $9826.61      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 08/01/2039#MA3761                                                                  | CUSIP: 31418DFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20066 | PA      | $18221.22     | 0.00%             | 2039-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 4.046% 08/15/2041 144A                                                                 | CUSIP: 91529YAS5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    101000 | PA      | $82437.83     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 3.5% 09/01/2030                                                                           | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1203504.21   | 0.04%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2303                                                                  | CUSIP: 36183XRY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1896 | PA      | $1719.73      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 4% 06/15/2029                                                                          | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   1353000 | PA      | $1335632.34   | 0.04%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/29 #323500                                                                           | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        29 | PA      | $30.32        | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/1/42 #Q13479                                                                      | CUSIP: 3132HP2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4109 | PA      | $3815.67      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 2.5% 04/01/2052#FA0063                                                             | CUSIP: 3140W0B95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335991 | PA      | $1143948.10   | 0.04%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                  | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3942 | PA      | $3870.38      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/25 #329280                                                                          | CUSIP: 31375AXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.36         | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                                                | OPEN TR 2023-AIR TSFR1M+308.92 10/15/2028 144A                                                    | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108571 | PA      | $108570.61    | 0.00%             | 2040-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/45#AO0257                                                                         | CUSIP: 3617A0JA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4914 | PA      | $4447.83      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.25%/VAR 04/21/2034                                                               | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2918363.24   | 0.09%             | 2034-04-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | SOCIETE GENERALE FRANCE 5.5%/VAR 04/13/2029 144A                                                  | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2025000 | PA      | $2067655.55   | 0.06%             | 2029-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 3.625% 04/01/2027                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    551000 | PA      | $546287.27    | 0.02%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2046#BC2847                                                                    | CUSIP: 3140EXEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10491 | PA      | $10125.82     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 12/01/2035#FM4701                                                                  | CUSIP: 3140X8GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12728 | PA      | $11445.07     | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.244%/VAR 01/24/2031                                                      | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4173000 | PA      | $4317418.31   | 0.13%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 05/15/2035                                                                        | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39600000 | PA      | $39965062.50  | 1.24%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BH6415                                                                    | CUSIP: 3140GVDV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31949 | PA      | $31060.91     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                           | SUBWAY FDG LLC ISSUER 5.914% 07/30/2054 144A                                                      | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2643028 | PA      | $2632796.08   | 0.08%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                   | BROOKFIELD 2024-MF23 A TSFR1M+149.177 06/15/2041 144A                                             | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1665000 | PA      | $1667081.25   | 0.05%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 5/29 #508736                                                                           | CUSIP: 36211CEH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       544 | PA      | $555.73       | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2051#RA4749                                                                  | CUSIP: 3133KLH26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3223886 | PA      | $2748377.40   | 0.09%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042                                                         | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    245000 | PA      | $211488.92    | 0.01%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 4/32 #C01344                                                                           | CUSIP: 31292HP57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29448 | PA      | $30544.61     | 0.00%             | 2032-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BM4614                                                                    | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55331 | PA      | $53996.76     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 6/41 #768770                                                                           | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4046 | PA      | $3923.44      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 10/31 #550985                                                                          | CUSIP: 36213DCW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1856 | PA      | $1915.25      | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH A TSFR1M+119.448 07/15/2038 144A                                   | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1022051 | PA      | $1022050.55   | 0.03%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 10/01/2039#FM1486                                                                  | CUSIP: 3140X4UL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92727 | PA      | $84166.87     | 0.00%             | 2039-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/37 #942981                                                                           | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2553 | PA      | $2694.33      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3% 2/43 #Q15438                                                                              | CUSIP: 3132J6PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158951 | PA      | $147401.55    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                               | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1481000 | PA      | $1498401.75   | 0.05%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 05/20/2031#MA3639                                                                    | CUSIP: 36179SBG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412794 | PA      | $403624.87    | 0.01%             | 2031-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#727060                                                                  | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14959 | PA      | $15008.59     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2046#Q39717                                                                    | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16895 | PA      | $15354.37     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AL1871                                                                  | CUSIP: 36183XCG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1481 | PA      | $1343.71      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.24% 9/33 #555935                                                                       | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14360 | PA      | $14500.62     | 0.00%             | 2033-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 10/01/2041#AI6819                                                                   | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1480 | PA      | $1529.76      | 0.00%             | 2041-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 2/26 #336195                                                                           | CUSIP: 31375JNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11 | PA      | $10.76        | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2045#AZ3728                                                                  | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12764 | PA      | $11592.63     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2050#SD8108                                                                    | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68405 | PA      | $60761.54     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES LN FDG V LTD / ARES LN FDG V LLC                                           | ARES LN FDG V LTD / ARES LN FDG V LLC A1 TSFR3M+150 07/27/2037 144A                               | CUSIP: 04020QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2418000 | PA      | $2426354.19   | 0.08%             | 2037-07-27      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #444633                                                                           | CUSIP: 36207W4S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       147 | PA      | $148.56       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 08/01/2053#RA9619                                                                  | CUSIP: 3133KRVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1257222 | PA      | $1282712.42   | 0.04%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 4/1/43 #AT0668                                                                     | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3555 | PA      | $3367.47      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.05% 03/30/2029  | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    850000 | PA      | $861128.24    | 0.03%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 05/31/2032                                                                       | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    593000 | PA      | $600545.75    | 0.02%             | 2032-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.75% 05/15/2055                                                      | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40951000 | PA      | $41078971.88  | 1.28%             | 2055-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2043#Q20785                                                                  | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7327 | PA      | $7168.48      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2041#                                                                        | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8011 | PA      | $8038.63      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1236000 | PA      | $1214351.19   | 0.04%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.625% 08/01/2031                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1403000 | PA      | $1205212.29   | 0.04%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6% 06/01/2053#RA9276                                                                    | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    548182 | PA      | $567380.11    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 08/01/2035#SB8066                                                                  | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4088769 | PA      | $3685462.69   | 0.11%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2045#Q33468                                                                  | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11053 | PA      | $10094.53     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AK6572                                                                           | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191793 | PA      | $182060.55    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 10/41 #Q03643                                                                          | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89918 | PA      | $90117.77     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2046#Q41359                                                                  | CUSIP: 3132WEQM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6921 | PA      | $6488.96      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21526                                                                  | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10624 | PA      | $10346.72     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2045#G61796                                                                  | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23917 | PA      | $23997.44     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                      | EATON VANCE CLO 2019-1 LTD AR2 TSFR3M+151 07/15/2037 144A                                         | CUSIP: 27830XAW6<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |   2272000 | PA      | $2278434.30   | 0.07%             | 2037-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 4.3% 02/15/2030                                                                      | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    859000 | PA      | $860870.12    | 0.03%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 7/40#V81831                                                                        | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4234 | PA      | $4040.43      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 06/01/2032#C91456                                                                  | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1090770 | PA      | $1073781.03   | 0.03%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                          | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+123.468 02 11/15/2036 144A                          | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1006613 | PA      | $1005668.92   | 0.03%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2051#CB1110                                                                    | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33076 | PA      | $26922.55     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                     | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                             | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    802000 | PA      | $769827.91    | 0.02%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 5.15% 01/15/2030 144A                                                 | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    219000 | PA      | $222137.31    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 2.45% 01/15/2031                                                                         | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    673000 | PA      | $602699.49    | 0.02%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                      | COPT DEFENSE PROPERTIES LP 2% 01/15/2029                                                          | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    199000 | PA      | $184400.96    | 0.01%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AK3531                                                                  | CUSIP: 36183L4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5290 | PA      | $4805.68      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                 | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2383000 | PA      | $2233894.98   | 0.07%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                 | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3430000 | PA      | $3335675.00   | 0.10%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 7.875% 10/01/2029                                                                       | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1346000 | PA      | $1526294.17   | 0.05%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6% 10/01/2055 #TBA                                                                        | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22975000 | PA      | $23368626.08  | 0.73%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 3% 08/15/2026                                                                     | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    192000 | PA      | $190003.20    | 0.01%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/29 #499474                                                                           | CUSIP: 36210Q2F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       689 | PA      | $702.94       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #719232                                                                           | CUSIP: 3620A5A90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14396 | PA      | $14362.57     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2049#FM1277                                                                    | CUSIP: 3140X4M37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312540 | PA      | $297745.36    | 0.01%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                  | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                          | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    587196 | PA      | $586856.29    | 0.02%             | 2038-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                          | EQUITABLE HOLDINGS INC 4.572% 02/15/2029 144A                                                     | CUSIP: 054561AN5<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    450000 | PA      | $451902.53    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/28 #190294                                                                           | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34 | PA      | $35.51        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                      | COPT DEFENSE PROPERTIES LP 4.5% 10/15/2030                                                        | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    305000 | PA      | $302988.68    | 0.01%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL9337                                                                  | CUSIP: 36184HLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5828 | PA      | $5306.90      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 11/15/2034                                                                        | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7500000 | PA      | $7584667.95   | 0.24%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#FS0286                                                                    | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4545335 | PA      | $3723904.00   | 0.12%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.59% 9/36 #893081                                                                       | CUSIP: 31410PFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10638 | PA      | $11040.78     | 0.00%             | 2036-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2051#MA7767                                                                    | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72586 | PA      | $62542.09     | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2045#Q37070                                                                  | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4938 | PA      | $4635.62      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/37 #AE0265                                                                           | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54832 | PA      | $57146.79     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2049#CA4406                                                                    | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266994 | PA      | $239915.01    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2047#BE5696                                                                  | CUSIP: 3140FRKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44091 | PA      | $41177.12     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 2.5% 12/20/2051#785792                                                                    | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    658927 | PA      | $562393.03    | 0.02%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2349                                                                    | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3133810 | PA      | $2567469.70   | 0.08%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                    | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                      | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   1323000 | PA      | $1196700.77   | 0.04%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 09/01/2052#SD1579                                                                  | CUSIP: 3132DNXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1227333 | PA      | $1251450.82   | 0.04%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TACO BELL FDG LLC                                                               | TACO BELL FDG LLC 4.821% 08/25/2055 144A                                                          | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3045000 | PA      | $3052044.91   | 0.09%             | 2055-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/01/2051#RA5287                                                                    | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79452 | PA      | $64770.83     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030                                                     | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    242000 | PA      | $234317.74    | 0.01%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2034#G16829                                                                    | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106981 | PA      | $103655.71    | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 07/01/2032#J37270                                                                    | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8331 | PA      | $8130.73      | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                  | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67125 | PA      | $63368.50     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3% 2/1/43 #Q15788                                                                            | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14904 | PA      | $13804.99     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 2.95% 09/01/2029                                                                     | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   2624000 | PA      | $2503168.47   | 0.08%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 05/01/2040#MA4016                                                                  | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63940 | PA      | $57765.02     | 0.00%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.45% 04/15/2027                               | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4054000 | PA      | $4180753.30   | 0.13%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 10/01/2055 #TBA                                                                      | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -40550000 | PA      | $-32680765.63 | -1.02%            | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                      | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   3072000 | PA      | $3109692.06   | 0.10%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/45#AL2996                                                                         | CUSIP: 36183YKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5496 | PA      | $4974.74      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHLMC REMI 30YR 6% 04/01/2055#RJ4028                                                              | CUSIP: 3142GUPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1818868 | PA      | $1883276.73   | 0.06%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A97151                                                                           | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9333 | PA      | $9363.91      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLOFIN FINANCE DESIGNATED ACTIVITY CO                                          | VOLOFIN FINANCE DESIGNATED ACTIVITY CO 5.935% 06/15/2037 144A                                     | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    860214 | PA      | $873883.20    | 0.03%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 11/01/2041#QK1180                                                                    | CUSIP: 3133D4JZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570313 | PA      | $494434.43    | 0.02%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                | PUGET ENERGY INC 4.224% 03/15/2032                                                                | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1795649.19   | 0.06%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2045#AY0364                                                                  | CUSIP: 3138YDMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29187 | PA      | $29058.37     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 3/40 #727841                                                                           | CUSIP: 3620AES68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38181 | PA      | $37167.18     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                        | MOLSON COORS BEVERAGE CO 3% 07/15/2026                                                            | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2279669.50   | 0.07%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2040#V81966                                                                  | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10639 | PA      | $10028.03     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/27 #251298                                                                          | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $6.56         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/40 #749953                                                                          | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5835 | PA      | $5662.47      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2046#Q40165                                                                    | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20387 | PA      | $18527.36     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.8% 03/01/2050   | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    816000 | PA      | $646297.07    | 0.02%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 7/40 #A92914                                                                           | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6506 | PA      | $6633.16      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AM8979                                                                    | CUSIP: 36185B6Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5190 | PA      | $4724.25      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 10/01/2041#                                                                          | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1491515 | PA      | $1294364.36   | 0.04%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.889%/VAR 07/20/2033                                                              | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6522000 | PA      | $6622399.73   | 0.21%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                   | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1822000 | PA      | $1607561.46   | 0.05%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/29 #323542                                                                           | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3010 | PA      | $3147.04      | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                       | VOYA CLO 2020-2 LTD/LLC A1RR TSFR3M+131 01/20/2038 144A                                           | CUSIP: 92918HAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    648000 | PA      | $650668.46    | 0.02%             | 2038-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 09/45#MA3106                                                                         | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1866 | PA      | $1801.79      | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 3.125% 11/23/2031                                                           | CUSIP: 46817MAL1<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    273000 | PA      | $246497.28    | 0.01%             | 2031-11-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 3.7% 03/23/2029                                                                        | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    827000 | PA      | $808171.97    | 0.03%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.3% 02/01/2032   | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    369000 | PA      | $315718.08    | 0.01%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030                                                    | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $1105024.85   | 0.03%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 7.50% 8/26 #G00529                                                                           | CUSIP: 31283GSS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.79         | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE PLACE GROUP LTD PARTNERSHIP                                          | PPGLP 2000-C1 A2 7.75% 7/28                                                                       | CUSIP: 743784AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    529063 | PA      | $540448.11    | 0.02%             | 2028-07-20      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 03/20/2043#AD8812                                                                      | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161879 | PA      | $149079.91    | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21900                                                                  | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4884 | PA      | $4741.11      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/41 #AJ3402                                                                          | CUSIP: 3138AUX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8565 | PA      | $8581.42      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2052#CB5405                                                                  | CUSIP: 3140QRAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432025 | PA      | $420943.13    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#BC0824                                                                  | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370307 | PA      | $346762.05    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/31#BC1465                                                                       | CUSIP: 3140EVTX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1719695 | PA      | $1663540.78   | 0.05%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 12/31/2029                                                                       | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  85000000 | PA      | $85544531.25  | 2.66%             | 2029-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.21% 5/36 #872503                                                                       | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9954 | PA      | $10256.60     | 0.00%             | 2036-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/32#BJ6650                                                                         | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10516 | PA      | $10235.87     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 2/27 #250932                                                                           | CUSIP: 31371FVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       139 | PA      | $140.77       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 4.7% 01/15/2031                                                    | CUSIP: 72650RBR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1973000 | PA      | $1977199.75   | 0.06%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.49% 01/23/2027                                                              | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1175000 | PA      | $1186750.00   | 0.04%             | 2027-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2051#FM5651                                                                  | CUSIP: 3140X9H57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455606 | PA      | $388406.22    | 0.01%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                  | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19784 | PA      | $19271.00     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                | NTT FINANCE CORP 4.62% 07/16/2028 144A                                                            | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    429000 | PA      | $433242.00    | 0.01%             | 2028-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #719228                                                                           | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19752 | PA      | $19710.21     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AB7458                                                                  | CUSIP: 31417EJC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7685 | PA      | $7104.68      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 6/46#V82414                                                                          | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302619 | PA      | $275017.68    | 0.01%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 11/01/2055 #TBA                                                                      | CUSIP: 01F0206B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27475000 | PA      | $22146352.88  | 0.69%             | 2055-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES LIX CLO LTD                                                                | ARES LIX CLO LTD A TSFR3M+129.161 04/25/2034 144A                                                 | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1039487 | PA      | $1040348.73   | 0.03%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 9/40 #004800                                                                        | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126828 | PA      | $123549.11    | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                  | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343173 | PA      | $322952.41    | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                                        | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                                  | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2925317 | PA      | $2928973.79   | 0.09%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 9/31 #550867                                                                           | CUSIP: 36213C6C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       943 | PA      | $969.22       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2048#Q56870                                                                  | CUSIP: 3132Y0T42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6651 | PA      | $6190.41      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2046#BC9079                                                                  | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16463 | PA      | $16303.03     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4.125% 08/15/2053                                                     | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53171000 | PA      | $48059522.36  | 1.49%             | 2053-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 08/01/2055#CC0888                                                                  | CUSIP: 3140Y67A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296164 | PA      | $311763.04    | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.625% 05/15/2053                                                     | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26100000 | PA      | $21556968.75  | 0.67%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                     | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1518910 | PA      | $1492744.50   | 0.05%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#FM9777                                                                    | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567909 | PA      | $505031.82    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/32 #567624                                                                           | CUSIP: 36213XSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8748 | PA      | $9074.49      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 6.72%/VAR 01/18/2029                                               | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1680222.50   | 0.05%             | 2029-01-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2052#SD1924                                                                    | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1850572 | PA      | $1859559.96   | 0.06%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 08/31/2030                                                                       | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24900000 | PA      | $25317269.47  | 0.79%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 11/01/2035#CA7953                                                                  | CUSIP: 3140QFZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632914 | PA      | $569100.57    | 0.02%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2036#MA4419                                                                  | CUSIP: 31418D4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38668 | PA      | $36412.41     | 0.00%             | 2036-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 12/28 #490998                                                                          | CUSIP: 36210FNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       122 | PA      | $124.49       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2031#J34653                                                                    | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19671 | PA      | $19258.02     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#727221                                                                  | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11431 | PA      | $11468.58     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AI6880                                                                  | CUSIP: 36198TUD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5472 | PA      | $4966.23      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.5% 08/01/2055#CC0887                                                                  | CUSIP: 3140Y66Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246424 | PA      | $259807.29    | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 05/01/2036#BR1069                                                                  | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18175 | PA      | $16313.82     | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1 LTD                                                             | VOYA CLO 2024-1 LTD A1 TSFR3M+152 04/15/2037 144A                                                 | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1190000 | PA      | $1194257.82   | 0.04%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                    | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219100 | PA      | $219305.07    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 30YR 2.5% 06/01/2052#FA0543                                                             | CUSIP: 3140W0S97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    793431 | PA      | $682106.25    | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.625% 12/15/2029                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   2738000 | PA      | $2654152.09   | 0.08%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.464% 5/1/41#1B8304                                                                     | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8542 | PA      | $8921.08      | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL5244                                                                  | CUSIP: 36184BZH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2408 | PA      | $2200.89      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/39 #710776                                                                           | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10644 | PA      | $10820.58     | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK INC 4.4% 10/15/2029                                                                         | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    786000 | PA      | $785436.16    | 0.02%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/28 #471698                                                                           | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1009 | PA      | $1013.96      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 10/01/2041#FM9396                                                                    | CUSIP: 3140XDNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1493488 | PA      | $1294331.71   | 0.04%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.25% 08/15/2035                                                                        | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37900000 | PA      | $38207937.50  | 1.19%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2044#AX1002                                                                  | CUSIP: 3138Y2DG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33845 | PA      | $33716.99     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 11/20/2031#MA4044                                                                    | CUSIP: 36179SP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212851 | PA      | $207651.96    | 0.01%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP CAREY INC 2.4% 02/01/2031                                                                      | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1166000 | PA      | $1045416.15   | 0.03%             | 2031-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2045#Q38812                                                                    | CUSIP: 3132QVYJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22392 | PA      | $21633.89     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                          | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1304273 | PA      | $1303050.16   | 0.04%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                           | SUBWAY FDG LLC ISSUER 5.566% 07/30/2054 144A                                                      | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1304145 | PA      | $1307948.80   | 0.04%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/28 #471672                                                                           | CUSIP: 36209G6H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        11 | PA      | $11.02        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 3.273%/VAR 03/01/2030                                                        | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1912000 | PA      | $1842612.66   | 0.06%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 03/15/2042#733816                                                                    | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15977 | PA      | $15470.14     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 04/01/2036#FM6100                                                                  | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17281 | PA      | $15511.47     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2042#AJ5602                                                                  | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61107 | PA      | $59599.29     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 11/40 #734032                                                                          | CUSIP: 3620AMPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4144 | PA      | $4216.04      | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 02/01/2036#MA4260                                                                  | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14243 | PA      | $12807.40     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT3665                                                                  | CUSIP: 3138WRCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27784 | PA      | $25691.65     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY LENDING INC                                              | SIXTH STREET SPECIALTY LENDING INC 6.125% 03/01/2029                                              | CUSIP: 83012AAC3<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |   1118000 | PA      | $1152050.69   | 0.04%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                 | ARES LV CLO LTD A1R2 TSFR3M+137 10/15/2037 144A                                                   | CUSIP: 04018BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1386000 | PA      | $1394209.28   | 0.04%             | 2037-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2035#AB8197                                                                  | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68017 | PA      | $68244.38     | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                             | FIFTH THIRD BANCORP 4.895%/VAR 09/06/2030                                                         | CUSIP: 316773DM9<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3048547.02   | 0.09%             | 2030-09-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                | AIMCO CLO 11 LTD A1R2 TSFR3M+134 07/17/2037 144A                                                  | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   2190000 | PA      | $2198019.78   | 0.07%             | 2037-07-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/28 #442336                                                                           | CUSIP: 36207ULR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       249 | PA      | $252.55       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                      | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    465000 | PA      | $465308.30    | 0.01%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/32 #563599                                                                           | CUSIP: 36213TDC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        70 | PA      | $72.34        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GREEN LAKES PARK CLO LLC                                                        | GREEN LAKES PARK CLO LLC ARR TSFR3M+118 01/25/2038 144A                                           | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2081000 | PA      | $2079974.07   | 0.06%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #440301                                                                           | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        33 | PA      | $33.10        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2052#CB4387                                                                  | CUSIP: 3140QP2V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1846923 | PA      | $1801278.01   | 0.06%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 6.7% 02/14/2033                                                                     | CUSIP: 02005NBS8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1282000 | PA      | $1335381.27   | 0.04%             | 2033-02-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.58% 7/35 #995273                                                                       | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       898 | PA      | $923.56       | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2032#C91403                                                                  | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229539 | PA      | $226081.56    | 0.01%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                  | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    526189 | PA      | $453347.50    | 0.01%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2049#FM1338                                                                  | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513208 | PA      | $505014.99    | 0.02%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                  | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92025 | PA      | $77934.82     | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 08/01/2053#CB6911                                                                  | CUSIP: 3140QSVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1475395 | PA      | $1507153.82   | 0.05%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029                                                         | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    904000 | PA      | $890104.03    | 0.03%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2052#CB5273                                                                    | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460282 | PA      | $462374.06    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AK8998                                                                    | CUSIP: 36183S7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3877 | PA      | $3506.70      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                   | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC ARR TSFR3M+120 01/25/2038 144A                      | CUSIP: 15033TBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1960000 | PA      | $1961493.52   | 0.06%             | 2038-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING 2015                                                       | MADISON PARK FUNDING 2015 AR3 TSFR3M+160 01/22/2037 144A                                          | CUSIP: 55819QBJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003521.00   | 0.03%             | 2037-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.25% 04/01/2052                                                                    | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    694000 | PA      | $560380.42    | 0.02%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15400                                                                  | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13072 | PA      | $12723.73     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2043#Q15372                                                                  | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3902 | PA      | $3797.68      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 06/01/2042#AO2244                                                                        | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9872 | PA      | $10277.92     | 0.00%             | 2042-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 11/01/2035#SB8073                                                                  | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4849744 | PA      | $4360767.74   | 0.14%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 11/01/2054#CB9501                                                                    | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255935 | PA      | $265937.59    | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                  | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9099 | PA      | $8873.16      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 4.5% 01/23/2026                                                               | CUSIP: 71654QBW1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1632000 | PA      | $1622208.00   | 0.05%             | 2026-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/27 #251335                                                                          | CUSIP: 31371GEG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57 | PA      | $60.07        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2035#AB0067                                                                    | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12380 | PA      | $12572.98     | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 08/20/2052#MA8199                                                                    | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1118042 | PA      | $1024481.68   | 0.03%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                      | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                      | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1272994.11   | 0.04%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1325000 | PA      | $1285146.52   | 0.04%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ3751                                                                  | CUSIP: 3138MKEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9154 | PA      | $8478.97      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 9/40#V81958                                                                        | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23139 | PA      | $21695.17     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                | SOUTHERN COMPANY 5.7% 03/15/2034                                                                  | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   2053000 | PA      | $2168284.10   | 0.07%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC                         | BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC A1R TSFR3M+ 07/18/2038 144A               | CUSIP: 05684GAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2397000 | PA      | $2405161.79   | 0.07%             | 2038-07-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.30% 12/35 #850837                                                                      | CUSIP: 31408GHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5850 | PA      | $6043.50      | 0.00%             | 2035-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 03/01/2052#SD8199                                                                    | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244335 | PA      | $198040.75    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 5/33 #G01785                                                                           | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9692 | PA      | $10017.41     | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/34#FM0045                                                                         | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131386 | PA      | $126999.77    | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 2/41 #004945                                                                        | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5328 | PA      | $5188.92      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2018-15 LTD                                                             | OCP CLO 2018-15 LTD AR TSFR3M+125 01/20/2038 144A                                                 | CUSIP: 67112KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1402066.40   | 0.04%             | 2038-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 11/15/2040#749947                                                                  | CUSIP: 3620C6EU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2844 | PA      | $2756.60      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#FS9368                                                                    | CUSIP: 3140XRMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402137 | PA      | $329966.01    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.5% 01/23/2029                                                               | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1705000 | PA      | $1733985.00   | 0.05%             | 2029-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2054#SD7570                                                                    | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1551200 | PA      | $1611826.00   | 0.05%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 10/01/2054#CB9336                                                                    | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276632 | PA      | $287444.19    | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2050#SD8049                                                                  | CUSIP: 3132DV5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241340 | PA      | $206045.49    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 05/46#MA3664                                                                           | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470700 | PA      | $453853.32    | 0.01%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB8529                                                                  | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283832 | PA      | $262125.59    | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 07/01/2041#                                                                          | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17117 | PA      | $14889.80     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AW1064                                                                  | CUSIP: 3138XQFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24188 | PA      | $24178.27     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                         | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   3922000 | PA      | $3930530.59   | 0.12%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2051#SD7548                                                                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388126 | PA      | $334153.84    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2025-44                                                                 | OCP CLO 2025-44 LTD A TSFR3M+130 10/24/2038 144A                                                  | CUSIP: 67570UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2254000 | PA      | $2258070.72   | 0.07%             | 2038-10-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | COMCAST CORP 3.9% 03/01/2038                                                                      | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    329000 | PA      | $289620.45    | 0.01%             | 2038-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                   | HEALTHCARE REALTY HOLDINGS LP 3.5% 08/01/2026                                                     | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    419000 | PA      | $415985.58    | 0.01%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FIN CORP 3.65% 05/11/2027                                                             | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   4134000 | PA      | $4101089.06   | 0.13%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/45#Q34074                                                                       | CUSIP: 3132QQQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6414 | PA      | $6051.57      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                  | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98164 | PA      | $82935.63     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC                             | MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC A1 TSFR3M+151 04/25/2037 144A                 | CUSIP: 55821YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2724000 | PA      | $2733566.69   | 0.08%             | 2037-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.78% 02/15/2035                                                       | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2099000 | PA      | $2064811.13   | 0.06%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.5% 05/01/2039#FM1194                                                                  | CUSIP: 3140X4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288472 | PA      | $291259.11    | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                       | COREBRIDGE GBL FUNDING 5.9% 09/19/2028 144A                                                       | CUSIP: 00138CAV0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   1659000 | PA      | $1735493.94   | 0.05%             | 2028-09-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 09/15/2040#783095                                                                  | CUSIP: 36241LNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6148 | PA      | $5972.10      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/45#G60179                                                                         | CUSIP: 31335AFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10647 | PA      | $10329.20     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2044#Q27808                                                                  | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2702 | PA      | $2635.95      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                         | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                                            | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343373 | PA      | $344231.45    | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                  | WALT DISNEY CO 4.7% 03/23/2050                                                                    | CUSIP: 254687FS0<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   2229000 | PA      | $2033885.47   | 0.06%             | 2050-03-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 03/01/2045#AL6541                                                                  | CUSIP: 3138EPHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487922 | PA      | $473424.34    | 0.01%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9341                                                                  | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28710 | PA      | $26500.45     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR1276                                                                  | CUSIP: 3138NXM20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22957 | PA      | $21367.30     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 6.342%/VAR 10/18/2033                                                              | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5495207.25   | 0.17%             | 2033-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #713686                                                                           | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5692 | PA      | $5709.63      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                               | STORE CAPITAL LLC 4.625% 03/15/2029                                                               | CUSIP: 862121AB6<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |    550000 | PA      | $546262.04    | 0.02%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                | PUGET ENERGY INC 4.1% 06/15/2030                                                                  | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   1032000 | PA      | $1007849.38   | 0.03%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.499%/VAR 01/23/2035                                                      | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1539000 | PA      | $1605316.70   | 0.05%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0526A5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3300000 | PA      | $-3327456.99  | -0.10%            | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 4.7% 04/15/2050                                                                       | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    238000 | PA      | $205467.78    | 0.01%             | 2050-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 08/01/2055#RJ4642                                                                    | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4282085 | PA      | $4447101.90   | 0.14%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2051#CA8820                                                                    | CUSIP: 3140QGYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1506184 | PA      | $1227397.68   | 0.04%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                                     | NAKILAT INC 6.067% 12/31/2033 144A                                                                | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |    409102 | PA      | $433299.96    | 0.01%             | 2033-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLOVER CLO 2019-1 LTD.                                                          | CLOVER CLO 2019-1 LTD 19-1A ARR TSFR3M+100 04/18/2035 144A                                        | CUSIP: 102875AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2425000 | PA      | $2427861.50   | 0.08%             | 2035-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB7767                                                                  | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381529 | PA      | $352217.21    | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                  | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31064 | PA      | $29262.86     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/46#BC2843                                                                         | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230029 | PA      | $222317.22    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 6.858% 05/01/2054                                                                       | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1009000 | PA      | $1150969.43   | 0.04%             | 2054-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/41 #AI7910                                                                           | CUSIP: 3138AMYG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13302 | PA      | $13320.78     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AL2860                                                                  | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23113 | PA      | $21376.88     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/41 #Q02592                                                                           | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30434 | PA      | $30516.87     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                       | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                       | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   1057000 | PA      | $987648.88    | 0.03%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                               | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4837000 | PA      | $4437362.80   | 0.14%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 07/01/2041#CB2014                                                                  | CUSIP: 3140QMGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181347 | PA      | $162556.73    | 0.01%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8.5% 01/01/2028#                                                                        | CUSIP: 31283G7J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        40 | PA      | $40.92        | 0.00%             | 2028-01-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 01/46#MA3377                                                                         | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2203 | PA      | $2124.57      | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                         | SAUDI ARABIA KINGDOM OF 3.25% 10/22/2030 144A                                                     | CUSIP: 80413TAT6<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    966000 | PA      | $920235.75    | 0.03%             | 2030-10-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                          | BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A                                 | CUSIP: 05610HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758100 | PA      | $757152.38    | 0.02%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 12/20/2050#MA7051                                                                      | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4052350 | PA      | $3353799.00   | 0.10%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 3/41 #A97528                                                                           | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8433 | PA      | $8455.60      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/32 #534007                                                                           | CUSIP: 36212HGQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2557 | PA      | $2651.27      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.375% 02/01/2045                                                     | CUSIP: 92277GAF4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    234000 | PA      | $197372.80    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2052#FS8764                                                                    | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270178 | PA      | $221689.51    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                        | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    666261 | PA      | $632955.30    | 0.02%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AB9814                                                                  | CUSIP: 31417G3Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19982 | PA      | $18429.91     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AE4428                                                                          | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11597 | PA      | $11338.81     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                           | CELANESE US HLDGS LLC VAR 11/15/2033                                                              | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    817000 | PA      | $849355.40    | 0.03%             | 2033-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 6.35% 01/15/2029                                                          | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    978000 | PA      | $1028892.20   | 0.03%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35578                                                                             | CUSIP: 3132QSFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5635 | PA      | $5168.02      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/42#G60488                                                                         | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    682671 | PA      | $667320.02    | 0.02%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-1 LTD                                                       | INVESCO US CLO 2024-1 LTD AR TSFR3M+155 04/15/2037 144A                                           | CUSIP: 46148JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2115000 | PA      | $2120412.29   | 0.07%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 02/20/2031#MA3428                                                                    | CUSIP: 36179RYZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25794 | PA      | $25235.65     | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 10/42 #Q11886                                                                          | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63413 | PA      | $60242.16     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 10/01/2041#RB5131                                                                    | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17791 | PA      | $15439.48     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.75% 03/15/2039                                                       | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    560000 | PA      | $539417.84    | 0.02%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2040#V81792                                                                  | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44676 | PA      | $42764.02     | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/28 #436662                                                                           | CUSIP: 31380DB70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72 | PA      | $72.01        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                          | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                               | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758100 | PA      | $757152.38    | 0.02%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ8767                                                                  | CUSIP: 3138MQW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10373 | PA      | $9670.74      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 06/45#AN5733                                                                         | CUSIP: 36186NLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2390 | PA      | $2165.68      | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 5/29 #252492                                                                           | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52 | PA      | $53.86        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033   | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1073000 | PA      | $1017738.63   | 0.03%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 04/01/2051#SD8139                                                                  | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10250384 | PA      | $7886199.43   | 0.25%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR2943                                                                  | CUSIP: 3138W0HV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31972 | PA      | $29541.64     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                           | ATHENE GLOBAL FUNDING 5.583% 01/09/2029 144A                                                      | CUSIP: 04685A3Q2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2079000 | PA      | $2148625.79   | 0.07%             | 2029-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVIII LTD                                                            | MAGNETITE XXVIII LTD A1RR TSFR3M+124 01/15/2038 144A                                              | CUSIP: 55955LAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2717000 | PA      | $2722621.47   | 0.08%             | 2038-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC                                   | SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC AR TSFR3M+134.161 04/20/2033 144A                   | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1643391 | PA      | $1643783.92   | 0.05%             | 2033-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                               | GENERAL MILLS INC 2.875% 04/15/2030                                                               | CUSIP: 370334CL6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    220000 | PA      | $206480.13    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 12/20/2045#MA3311                                                                      | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2652 | PA      | $2557.45      | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2032#J37452                                                                    | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6775 | PA      | $6612.29      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #748242                                                                          | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5325 | PA      | $5165.08      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2050#CA7229                                                                  | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2626652 | PA      | $2261395.16   | 0.07%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4% 06/30/2032                                                                           | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4600000 | PA      | $4623718.75   | 0.14%             | 2032-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 4/42 #G06993                                                                           | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23167 | PA      | $22062.66     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2046#V82292                                                                    | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59456 | PA      | $57404.56     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2048#Q55500                                                                  | CUSIP: 3132XYDE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31563 | PA      | $31246.53     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE6903                                                                  | CUSIP: 3140FSU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63554 | PA      | $59353.71     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 07/20/2052#MA8149                                                                    | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1884357 | PA      | $1726669.92   | 0.05%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2023-IV                                                         | BARINGS CLO LTD 2023-IV A TSFR3M+175 01/20/2037 144A                                              | CUSIP: 06763MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3122000 | PA      | $3130638.57   | 0.10%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 04/20/2047#MA4383                                                                      | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303211 | PA      | $291789.91    | 0.01%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#AS7009                                                                  | CUSIP: 3138WGYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308325 | PA      | $288721.09    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                               | DRYDEN 98 CLO LTD A TSFR3M+130 04/20/2035 144A                                                    | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2990000 | PA      | $2990355.81   | 0.09%             | 2035-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/28 #323327                                                                          | CUSIP: 31374TD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $157.40       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.31% 2/36 #822116                                                                       | CUSIP: 31406WK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5424 | PA      | $5601.24      | 0.00%             | 2036-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 4.5% 02/15/2031                                                                | CUSIP: 24703DBS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3015000 | PA      | $3008030.13   | 0.09%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 2/41 #738002                                                                           | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5103 | PA      | $4955.69      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#FM9517                                                                  | CUSIP: 3140XDSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1283907 | PA      | $1097344.85   | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2050#CA6275                                                                    | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146298 | PA      | $119813.61    | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 4.55% 04/17/2026                                                                     | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    790000 | PA      | $792096.48    | 0.02%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/28 #457257                                                                          | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $63.46        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2052#SD2219                                                                    | CUSIP: 3132DPPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1342604 | PA      | $1191437.39   | 0.04%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/39 #AB0042                                                                           | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    689206 | PA      | $691518.00    | 0.02%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 10/20/2031#MA3979                                                                    | CUSIP: 36179SM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197826 | PA      | $193101.76    | 0.01%             | 2031-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 1.5% 03/01/2036#SB8092                                                                  | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14020 | PA      | $12584.09     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 15YR 3% 07/20/2031#MA3778                                                                    | CUSIP: 36179SFT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5432 | PA      | $5306.77      | 0.00%             | 2031-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 9/30 #479580                                                                           | CUSIP: 36209RXH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       592 | PA      | $610.78       | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                         | ALABAMA POWER CO 3.05% 03/15/2032                                                                 | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   2030000 | PA      | $1874018.07   | 0.06%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 03/20/2043#AA6146                                                                      | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393795 | PA      | $362393.19    | 0.01%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #726923                                                                           | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12670 | PA      | $12709.88     | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 01/20/2050#BR8993                                                                    | CUSIP: 3617M77E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186620 | PA      | $171163.80    | 0.01%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 09/20/2050#MA6864                                                                      | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3316215 | PA      | $2746373.87   | 0.09%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/26 #303884                                                                           | CUSIP: 31373URD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $9.75         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#AS7594                                                                  | CUSIP: 3138WHNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60952 | PA      | $57037.96     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR TSFR1M+121.448 03/15/2036 144A                                               | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36263 | PA      | $36104.49     | 0.00%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 5.7% 08/15/2035                                                             | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    373000 | PA      | $388276.16    | 0.01%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/32 #565960                                                                           | CUSIP: 36213VWV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       921 | PA      | $950.44       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                  | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197192 | PA      | $197466.40    | 0.01%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNE 2023-36A                                                                  | MAGNE 2023-36A AR TSFR3M+132 07/25/2038 144A                                                      | CUSIP: 559922AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2169000 | PA      | $2176641.39   | 0.07%             | 2038-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.622%/VAR 04/01/2031                                                              | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3078000 | PA      | $2986593.74   | 0.09%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2048#FS8330                                                                    | CUSIP: 3140XQHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3529416 | PA      | $3202342.97   | 0.10%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2048#Q55839                                                                  | CUSIP: 3132XYPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64221 | PA      | $63577.01     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAKESIDE PK CLO LTD / LAKESIDE PK CLO LLC                                       | LAKESIDE PK CLO LTD / LLC A TSFR3M+115 04/15/2038 144A                                            | CUSIP: 51218YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1534000 | PA      | $1534748.59   | 0.05%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 5.375% 05/30/2030 144A                                                | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1183000 | PA      | $1213504.02   | 0.04%             | 2030-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 06/45#AN5715                                                                         | CUSIP: 36186NK40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1599 | PA      | $1449.41      | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96876                                                                           | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11026 | PA      | $11059.70     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 10/39 #723228                                                                          | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4877 | PA      | $4957.45      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2051#FM9632                                                                    | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730931 | PA      | $651317.82    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 9/42 #Q11420                                                                           | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3433 | PA      | $3257.14      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 07/20/2055#MB0485                                                                    | CUSIP: 3618N5RF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5836047 | PA      | $5883227.79   | 0.18%             | 2055-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 5.5% 05/01/2053#RA9058                                                                  | CUSIP: 3133KRB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1042373 | PA      | $1063833.10   | 0.03%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 10/01/2051#RA6076                                                                    | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1292490 | PA      | $1057296.24   | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2051#FM9973                                                                    | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438114 | PA      | $390531.66    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1433000 | PA      | $1432036.38   | 0.04%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                     | PAYCHEX INC 5.6% 04/15/2035                                                                       | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    294000 | PA      | $307783.34    | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 4.5% 09/15/2042                                                             | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    283000 | PA      | $227384.05    | 0.01%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                        | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM C TSFR1M+219.158 12/15/2039 144A                 | CUSIP: 87231EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452000 | PA      | $453130.59    | 0.01%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 01/01/2054#RJ0706                                                                  | CUSIP: 3142GQYC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1239433 | PA      | $1298225.26   | 0.04%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2025-VI LTD                                                        | CIFC FUNDING 2025-VI LTD A1 TSFR3M+125 10/23/2038 144A                                            | CUSIP: 171933AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1403000 | PA      | $1403611.71   | 0.04%             | 2038-10-23      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 5.25% 01/15/2026                                                   | CUSIP: 681936BH2<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1744000 | PA      | $1744454.31   | 0.05%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479430                                                                          | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88581 | PA      | $85908.11     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5.5% 02/20/2055#MB0205                                                                    | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3337267 | PA      | $3364246.48   | 0.10%             | 2055-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                  | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100563 | PA      | $84793.16     | 0.00%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                    | SBA TOWER TR 2.328% 07/15/2052 144A                                                               | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    560000 | PA      | $532198.63    | 0.02%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#CA6312                                                                    | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882168 | PA      | $788838.68    | 0.02%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #888034                                                                           | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4784 | PA      | $5009.12      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/41 #Q00736                                                                           | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16211 | PA      | $16241.36     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                                                 | BX TR 2025-TAIL A VAR 06/15/2035 144A                                                             | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    816000 | PA      | $814725.00    | 0.03%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2031#J34598                                                                    | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4284 | PA      | $4189.70      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 10/01/2055 #TBA                                                                        | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12400000 | PA      | $12334162.20  | 0.38%             | 2055-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783276                                                                           | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2553 | PA      | $2547.26      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.1% 06/01/2029   | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1621312.57   | 0.05%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2046#Q39899                                                                    | CUSIP: 3132QW7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8656 | PA      | $8357.63      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027                                                    | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   4967000 | PA      | $4980803.64   | 0.15%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2044#Q25336                                                                  | CUSIP: 3132M5SZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21004 | PA      | $20998.37     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                 | FLATIRON CLO LT A1R TSFR3M+136 10/19/2037 144A                                                    | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2396000 | PA      | $2402313.46   | 0.07%             | 2037-10-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5.192%/VAR 04/17/2031                                                              | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1996000 | PA      | $2061054.61   | 0.06%             | 2031-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                                  | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424323 | PA      | $444649.38    | 0.01%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 01/01/2052#SD2072                                                                    | CUSIP: 3132DPJR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278743 | PA      | $228368.40    | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 8/31 #564604                                                                           | CUSIP: 36213UGM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        86 | PA      | $87.64        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #AE0504                                                                          | CUSIP: 31419AR25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89929 | PA      | $90065.66     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.25% 12/15/2027                                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1762000 | PA      | $1730314.57   | 0.05%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #709061                                                                          | CUSIP: 36297DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5584 | PA      | $5428.78      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 4.75% 05/15/2046                                                                     | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4816000 | PA      | $4300560.52   | 0.13%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     84000 | PA      | $76889.45     | 0.00%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 1/28 #458374                                                                           | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        17 | PA      | $17.57        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/40 #733601                                                                           | CUSIP: 3620AMAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1729 | PA      | $1758.13      | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 11/01/2040#                                                                          | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2374401 | PA      | $2077398.95   | 0.06%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2047#Q50433                                                                    | CUSIP: 3132XSPT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10293 | PA      | $9908.99      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 4.999%/VAR 09/11/2030                                              | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608592.25    | 0.02%             | 2030-09-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 4.75% 10/06/2032                                                               | CUSIP: 24703DBT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2001014.58   | 0.06%             | 2032-10-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033                                                      | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5079642.65   | 0.16%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                              | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1766729 | PA      | $1510254.36   | 0.05%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP B TSFR1M+166.448 10/15/2036 144A                                                     | CUSIP: 36262MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2497757 | PA      | $2485268.22   | 0.08%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.95% 02/15/2030                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   2648000 | PA      | $2678713.49   | 0.08%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/45#AK8997                                                                         | CUSIP: 36183S7J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1490 | PA      | $1347.69      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 3.875% 11/05/2025                                                                      | CUSIP: 91529YAL0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   1491000 | PA      | $1489465.21   | 0.05%             | 2025-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/01/2051#RA5901                                                                    | CUSIP: 3133KMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    589583 | PA      | $522785.84    | 0.02%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                               | DRYDEN 83 CLO LTD AR TSFR3M+153 04/18/2037 144A                                                   | CUSIP: 26246EAL2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |   2356000 | PA      | $2364641.81   | 0.07%             | 2037-04-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 10/01/2055 #TBA                                                                        | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7425000 | PA      | $6631884.52   | 0.21%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                  | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1230747 | PA      | $1051909.88   | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/32 #552668                                                                           | CUSIP: 36213E6D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       332 | PA      | $344.61       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                    | FIRSTENERGY TRANSMISSION LLC 4.75% 01/15/2033 144A                                                | CUSIP: 33767BAJ8<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   5826000 | PA      | $5814609.59   | 0.18%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/26 #303913                                                                           | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $39.43        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 12/27 #417005                                                                          | CUSIP: 36206PGN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       324 | PA      | $331.07       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                    | SBA TOWER TR 1.884% 07/15/2050 144A                                                               | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    733000 | PA      | $727443.64    | 0.02%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.5% 02/15/2041 144A                                                                 | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3113000 | PA      | $2561771.81   | 0.08%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#FM9505                                                                  | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    974878 | PA      | $833220.25    | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AB9247                                                                  | CUSIP: 31417GHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65267 | PA      | $59775.48     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 11/01/2040#FM9485                                                                  | CUSIP: 3140XDRF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320552 | PA      | $288997.12    | 0.01%             | 2040-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                           | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1335000 | PA      | $1219856.25   | 0.04%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 2.75% 03/15/2027                                                                      | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    449000 | PA      | $440166.52    | 0.01%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/28 #449564                                                                           | CUSIP: 36208FMM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       307 | PA      | $312.44       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2046#G60553                                                                  | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220635 | PA      | $207006.70    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 4/29 #323645                                                                           | CUSIP: 31374TP60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17 | PA      | $17.48        | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                    | BX 2024-CNYN TSFR1M+194.116 04/15/2041 144A                                                       | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453664 | PA      | $454231.21    | 0.01%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 6.45% 11/03/2036 144A                                                       | CUSIP: 26439XAH6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    760000 | PA      | $801835.57    | 0.02%             | 2036-11-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 6.1% 09/26/2065                                                                       | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1384000 | PA      | $1381451.18   | 0.04%             | 2065-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2052#MA7988                                                                      | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10488030 | PA      | $9373118.42   | 0.29%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/31 #547493                                                                           | CUSIP: 36212YGA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       474 | PA      | $486.15       | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 03/01/2036#                                                                        | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156849 | PA      | $140789.27    | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2047#BH0561                                                                  | CUSIP: 3140GNTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32655 | PA      | $32317.64     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2047#Q51189                                                                    | CUSIP: 3132XTKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22722 | PA      | $21874.42     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5.5% 10/01/2055 #TBA                                                                    | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9900000 | PA      | $9982370.97   | 0.31%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 6/41 #G06596                                                                           | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94671 | PA      | $96609.60     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                        | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 2024-DPM B TSFR1M+179.21 12/15/2029 144A                | CUSIP: 87231EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613000 | PA      | $612615.77    | 0.02%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 6.27%/VAR 11/17/2033                                                                | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7639560.74   | 0.24%             | 2033-11-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                         | BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A                                          | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1346813 | PA      | $1348495.29   | 0.04%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2031#J34571                                                                    | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7207 | PA      | $7055.70      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/29 #480551                                                                           | CUSIP: 36209SZQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       340 | PA      | $347.01       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/46#Q38783                                                                         | CUSIP: 3132QVXM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85118 | PA      | $82181.69     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 4/26 #343282                                                                           | CUSIP: 31375SJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        24 | PA      | $24.13        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 12/28 #323424                                                                          | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $12.49        | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2041#                                                                        | CUSIP: 3132GKK96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4457 | PA      | $4472.48      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2040#V82091                                                                  | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22223 | PA      | $20947.37     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8.5% 05/01/2027#                                                                        | CUSIP: 31283GYN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $6.52         | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 4.3% 04/01/2027                                                                         | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1504953.38   | 0.05%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2052#SD1772                                                                    | CUSIP: 3132DN6H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1134101 | PA      | $1083322.32   | 0.03%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B8 MTG TR                                                        | BENCHMARK 2018-B8 A5 MORTGAGE TRUST 4.2317% 01/15/2052                                            | CUSIP: 08162UAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2882896 | PA      | $2846987.22   | 0.09%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 08/15/2033                                                                       | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36190000 | PA      | $35890301.56  | 1.12%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #726949                                                                           | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28172 | PA      | $28259.67     | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/34 #AL2130                                                                          | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12550 | PA      | $13111.36     | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ1886                                                                  | CUSIP: 3138MHCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7040 | PA      | $6466.06      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2051#MA4239                                                                    | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512931 | PA      | $455619.82    | 0.01%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 4.15% 02/15/2029                                                               | CUSIP: 24703DBR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1523000 | PA      | $1519355.40   | 0.05%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 1/40 #A90893                                                                           | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29467 | PA      | $30054.20     | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                  | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43149 | PA      | $40986.64     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 5.3% 12/15/2034                                                                       | CUSIP: 59156RCN6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   4063000 | PA      | $4226055.54   | 0.13%             | 2034-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer