# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0001752724-25-201274
**Filing Date:** 2025-8
**Character Count:** 320118
**Document Hash:** ac1269be99cda71eb33bfeb8e736c6bc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-201274.hdr.sgml**: 20250825

**ACCESSION NUMBER**: 0001752724-25-201274

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250825

**DATE AS OF CHANGE**: 20250825

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340

**ORGANIZATION NAME:**
- **EIN:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 251248734

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 2125767000

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **DATE OF NAME CHANGE:** 20110429

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010518

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEW YORK LIFE MFA SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### NYLI VP Janus Henderson Balanced Portfolio (Series ID: S000033928)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000104627 | Initial Class |  |
| C000104628 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

- **b. Investment Company Act file number:** 811-03833-01

- **c. CIK number of Registrant:** 0000887340

- **d. LEI of Registrant:** 549300AG6K4RXYNOVN04

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 212-576-7000

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

- **a. Name of Series:** NYLI VP Janus Henderson Balanced Portfolio

- **b. EDGAR series identifier (if any):** S000033928

- **c. LEI of Series:** 549300IH1BE6KCPK8R42

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

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

- **b. Date as of which information is reported:** 2025-06-30

**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:** $1918557877.61

**Total Liabilities:** $25766073.99

**Net Assets:** $1892791803.62

**Delayed Delivery Securities:** $3086713.00

**Cash Not Reported:** $8168186.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -404.39000000 | **1-Year:** -8330.56000000 | **5-Year:** -55889.69000000 | **10-Year:** -99304.92000000 | **30-Year:** -123285.49000000

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

- **3-Month:** -273.83000000 | **1-Year:** -6336.48000000 | **5-Year:** -19313.57000000 | **10-Year:** -29034.81000000 | **30-Year:** -9555.57000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000104628 | 0.51%                | 4.68%                | 4.46%                |
| Class ID C000104627 | 0.53%                | 4.70%                | 4.48%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $6835842.86              | $-2075149.06                               |
| Month 2  | $20045786.81             | $61076248.07                               |
| Month 3  | $294185.45               | $75988784.89                               |

**Designated Index Information**

- **Index Name:** Janus Balanced Composite Index

- **Index Identifier:** BCJB

### 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                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XGJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263516 | PA      | $241884.42    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                | Taco Bell Funding LLC, Series 2021-1A, Class A2II                        | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371385 | PA      | $337706.73    | 0.02%             | 2051-08-25      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Intercontinental Exchange, Inc.                                          | CUSIP: 45866F104<br>LEI: 5493000F4ZO33MV32P92 | Long             | EC               | CORP              | US        |     50308 | NS      | $9230008.76   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| NRTH Mortgage Trust                                  | NRTH Mortgage Trust, Series 2024-PARK, Class A                           | CUSIP: 67021HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2293000 | PA      | $2294429.23   | 0.12%             | 2039-03-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493722 | PA      | $474793.68    | 0.03%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 3140FXUY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2121299 | PA      | $1743784.49   | 0.09%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                         | Oracle Corp.                                                             | CUSIP: 68389X105<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | EC               | CORP              | US        |     62127 | NS      | $13582826.01  | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| T-Mobile USA, Inc.                                   | T-Mobile USA, Inc.                                                       | CUSIP: 87264ADT9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2214000 | PA      | $2241755.72   | 0.12%             | 2035-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QTHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503697 | PA      | $511804.58    | 0.03%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                  | Amcor Flexibles North America, Inc.                                      | CUSIP: 02344AAE8<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    988000 | PA      | $1002390.39   | 0.05%             | 2035-03-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Eaton Corp. plc                                      | Eaton Corp. plc                                                          | CUSIP: N/A<br>LEI: 549300VDIGTMXUNT7H71       | Long             | EC               | CORP              | IE        |     37173 | NS      | $13270389.27  | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| Occidental Petroleum Corp.                           | Occidental Petroleum Corp.                                               | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    835000 | PA      | $864411.46    | 0.05%             | 2031-01-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Monster Beverage Corp.                               | Monster Beverage Corp.                                                   | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |    143690 | NS      | $9000741.60   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XRA54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3829127 | PA      | $3865377.28   | 0.20%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wendy's Funding LLC                                  | Wendy's Funding LLC, Series 2021-1A, Class A2II                          | CUSIP: 95058XAL2<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    613436 | PA      | $542393.12    | 0.03%             | 2051-06-15      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2024-SD1, Class A1             | CUSIP: 58550DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513060 | PA      | $498659.92    | 0.03%             | 2054-04-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2544136 | PA      | $2253106.45   | 0.12%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                         | Cadence Design Systems, Inc.                                             | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |     29211 | NS      | $9001369.65   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Lam Research Corp.                                   | Lam Research Corp.                                                       | CUSIP: 512807306<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |    135649 | NS      | $13204073.66  | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29611 | PA      | $28369.30     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465550 | PA      | $408791.38    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                      | TEXAS Commercial Mortgage Trust, Series 2025-TWR, Class A                | CUSIP: 88231WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562000 | PA      | $560947.54    | 0.03%             | 2042-04-15      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                   | Compass Datacenters Issuer III LLC, Series 2025-2A, Class A2             | CUSIP: 20469BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    896000 | PA      | $905856.90    | 0.05%             | 2050-02-25      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1          | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475191 | PA      | $477866.19    | 0.03%             | 2043-07-25      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BWKK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145094 | PA      | $143046.97    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV       | Teva Pharmaceutical Finance Netherlands III BV                           | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1290000 | PA      | $1317375.09   | 0.07%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                    | Homeward Opportunities Fund Trust, Series 2024-RRTL2, Class A1           | CUSIP: 43789GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766000 | PA      | $767698.91    | 0.04%             | 2039-09-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| CME Group, Inc.                                      | CME Group, Inc.                                                          | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |     30964 | NS      | $8534297.68   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                          | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2697000 | PA      | $2672483.78   | 0.14%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QVVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1753199 | PA      | $1755155.45   | 0.09%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                       | GLP Capital LP                                                           | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | PA      | $86953.57     | 0.00%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust       | Finance of America Structured Securities Trust, Series 2025-S1, Class A1 | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |    690542 | PA      | $661253.17    | 0.03%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                   | CyrusOne Data Centers Issuer I LLC, Series 2024-1A, Class A2             | CUSIP: 23284BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618025 | PA      | $609197.63    | 0.03%             | 2049-03-22      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XMC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321611 | PA      | $281292.58    | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2021-7A, Class B                               | CUSIP: 12567HAE2<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    323837 | PA      | $324068.87    | 0.02%             | 2035-01-23      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-AIRC, Class C                  | CUSIP: 12433CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735805 | PA      | $738459.89    | 0.04%             | 2039-08-15      | Floating      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2019-OC11, Class C                                      | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564000 | PA      | $530263.16    | 0.03%             | 2041-12-09      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Amphenol Corp.                                       | Amphenol Corp., Class A                                                  | CUSIP: 032095101<br>LEI: 549300D3L3G0R4U4VT04 | Long             | EC               | CORP              | US        |    135888 | NS      | $13418940.00  | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust            | Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class AF       | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773215 | PA      | $716632.18    | 0.04%             | 2051-11-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                           | LAD Auto Receivables Trust, Series 2022-1A, Class A                      | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86016 | PA      | $86078.69     | 0.00%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140HGR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106337 | PA      | $103397.97    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442282 | PA      | $403516.17    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2024-HE3, Class A                                    | CUSIP: 31684GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377822 | PA      | $382999.00    | 0.02%             | 2054-07-25      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NPYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40652 | PA      | $41147.94     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Belron Finance U.S. LLC                              | Belron Finance U.S. LLC, First Lien 2031 Dollar Incremental Term Loans   | CUSIP: 08078UAM5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    840648 | PA      | $843537.65    | 0.04%             | 2031-10-16      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp.                                         | NVIDIA Corp.                                                             | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |    677715 | NS      | $107072192.85 | 5.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                          | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1479000 | PA      | $1516697.49   | 0.08%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                     | Amazon.com, Inc.                                                         | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    259309 | NS      | $56889801.51  | 3.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XRHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457142 | PA      | $462458.32    | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2021-1A, Class A1                        | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    951872 | PA      | $915818.50    | 0.05%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| General Motors Co.                                   | General Motors Co.                                                       | CUSIP: 37045VBB5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    769000 | PA      | $791176.60    | 0.04%             | 2035-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2025-DNA1, Class M1                      | CUSIP: 35564NFZ1<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |    551129 | PA      | $551385.02    | 0.03%             | 2045-01-25      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80606 | PA      | $80565.43     | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133A9WN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93427 | PA      | $79450.73     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                             | UnitedHealth Group, Inc.                                                 | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    860000 | PA      | $868683.88    | 0.05%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372383 | PA      | $374907.52    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding LUX SARL                             | JBS USA Holding LUX SARL                                                 | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    795000 | PA      | $695992.37    | 0.04%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hilton Worldwide Holdings, Inc.                      | Hilton Worldwide Holdings, Inc.                                          | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |     43534 | NS      | $11594845.56  | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3142GTLB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2836980 | PA      | $2841024.22   | 0.15%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC               | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1          | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514000 | PA      | $471256.53    | 0.02%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3120650 | PA      | $2901019.56   | 0.15%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                             | Vantage Data Centers LLC, Series 2020-2A, Class A2                       | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    705000 | PA      | $661944.80    | 0.03%             | 2045-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| KLA Corp.                                            | KLA Corp.                                                                | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |     16726 | NS      | $14982147.24  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES9, Class A1A                         | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860664 | PA      | $864329.97    | 0.05%             | 2044-12-25      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                   | CyrusOne Data Centers Issuer I LLC, Series 2023-2A, Class A2             | CUSIP: 23284BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278984 | PA      | $282976.90    | 0.01%             | 2048-11-20      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QNF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539983 | PA      | $472191.07    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2021-LBA, Class AV                                      | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    887289 | PA      | $886733.99    | 0.05%             | 2036-02-15      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642969 | PA      | $534883.62    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                   | Diamond Infrastructure Funding LLC, Series 2021-1A, Class A              | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1031000 | PA      | $980629.98    | 0.05%             | 2049-04-15      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                              | CUSIP: 14040HDH5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1876000 | PA      | $1934157.86   | 0.10%             | 2035-07-26      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1      | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1239333 | PA      | $1245356.28   | 0.07%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XFWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3248391 | PA      | $2723550.09   | 0.14%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                      | Eli Lilly & Co.                                                          | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     29200 | NS      | $22762276.00  | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Danaher Corp.                                        | Danaher Corp.                                                            | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |     56017 | NS      | $11065598.18  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Stryker Corp.                                        | Stryker Corp.                                                            | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |     29722 | NS      | $11758914.86  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                 | Columbia Pipelines Operating Co. LLC                                     | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    833000 | PA      | $860938.41    | 0.05%             | 2053-11-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                      | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2660000 | PA      | $2664156.25   | 0.14%             | 2027-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                            | ALA Trust, Series 2025-OANA, Class A                                     | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2780000 | PA      | $2794772.64   | 0.15%             | 2040-06-15      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                               | Howmet Aerospace, Inc.                                                   | CUSIP: 443201108<br>LEI: 549300HO5WFZUT5N2T22 | Long             | EC               | CORP              | US        |     56637 | NS      | $10541844.81  | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 2 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       175 | NC      | $154327.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    679496 | PA      | $670856.87    | 0.04%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                       | Alphabet, Inc., Class C                                                  | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    266771 | NS      | $47322507.69  | 2.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2021-1A, Class D             | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13980 | PA      | $13958.40     | 0.00%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| M&T Equipment Notes                                  | M&T Equipment Notes, Series 2023-1A, Class A3                            | CUSIP: 551925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    308002 | PA      | $309926.51    | 0.02%             | 2030-07-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631029 | PA      | $552975.51    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                         | OCP CLO Ltd., Series 2020-8RA, Class AR                                  | CUSIP: 670898AQ8<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |   1656624 | PA      | $1654924.30   | 0.09%             | 2036-10-17      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2024-RTL4, Class A1                         | CUSIP: 50205PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1641092 | PA      | $1649699.69   | 0.09%             | 2039-07-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Intuit, Inc.                                         | Intuit, Inc.                                                             | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |     17440 | NS      | $13736267.20  | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Organon & Co.                                        | Organon & Co.                                                            | CUSIP: 68622FAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1419000 | PA      | $1281425.48   | 0.07%             | 2034-05-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QSNC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381243 | PA      | $371782.68    | 0.02%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601459 | PA      | $584010.03    | 0.03%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                         | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    192000 | PA      | $193282.76    | 0.01%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XV Ltd.                  | Benefit Street Partners CLO XV Ltd., Series 2018-15A, Class A1R          | CUSIP: 08179MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2435000 | PA      | $2439775.04   | 0.13%             | 2037-07-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES6, Class A1A                         | CUSIP: 749410AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1004506 | PA      | $1004410.45   | 0.05%             | 2044-09-25      | Variable      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133A73R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53170 | PA      | $45003.78     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126198 | PA      | $123548.87    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                           | Constellation Brands, Inc., Class A                                      | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |     27253 | NS      | $4433518.04   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2023-HQA3, Class M1                      | CUSIP: 35564K3G2<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |    415667 | PA      | $419006.39    | 0.02%             | 2043-11-25      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241669 | PA      | $253340.14    | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41388 | PA      | $37862.83     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES3, Class A1A                         | CUSIP: 74942AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    724195 | PA      | $733556.90    | 0.04%             | 2044-05-25      | Variable      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43076 | PA      | $40732.33     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                            | Ford Motor Credit Co. LLC                                                | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1254000 | PA      | $1256619.33   | 0.07%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141472 | PA      | $133836.53    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VASA Trust                                           | VASA Trust, Series 2021-VASA, Class A                                    | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $509358.05    | 0.03%             | 2039-07-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                              | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1236927.15   | 0.07%             | 2036-01-30      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DQ3A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    695806 | PA      | $584108.18    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140H6W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28736 | PA      | $26644.46     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                          | Apple, Inc.                                                              | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    209242 | NS      | $42930181.14  | 2.27%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NG6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7161 | PA      | $7248.44      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                        | Voya CLO Ltd., Series 2024-4A, Class A2                                  | CUSIP: 92920KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    682703 | PA      | $682936.48    | 0.04%             | 2037-07-20      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Moody's Corp.                                        | Moody's Corp.                                                            | CUSIP: 615369105<br>LEI: 549300GCEDD8YCF5WU84 | Long             | EC               | CORP              | US        |     11813 | NS      | $5925282.67   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Barings Loan Partners CLO Ltd. 5                     | Barings Loan Partners CLO Ltd. 5, Series LP-5A, Class A                  | CUSIP: 06764CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1656624 | PA      | $1655133.04   | 0.09%             | 2035-01-20      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Texas Debt Capital CLO Ltd.                          | Texas Debt Capital CLO Ltd., Series 2023-2A, Class A1R                   | CUSIP: 88239MAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1703000 | PA      | $1708384.89   | 0.09%             | 2037-10-21      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Automatic Data Processing, Inc.                      | Automatic Data Processing, Inc.                                          | CUSIP: 053015103<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | EC               | CORP              | US        |     24240 | NS      | $7475616.00   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Quikrete Holdings, Inc.                              | Quikrete Holdings, Inc.                                                  | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |   1076000 | PA      | $1106472.23   | 0.06%             | 2032-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                 | CUSIP: 693475CB9<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    500000 | PA      | $513132.79    | 0.03%             | 2031-01-29      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                            | Ford Motor Credit Co. LLC                                                | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    354000 | PA      | $373695.99    | 0.02%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133W87L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247082 | PA      | $250871.57    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CBRE Services, Inc.                                  | CBRE Services, Inc.                                                      | CUSIP: 12505BAG5<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   2181000 | PA      | $2296195.69   | 0.12%             | 2034-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36549 | PA      | $35035.79     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148553 | PA      | $136003.74    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3272727 | PA      | $2762035.28   | 0.15%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B3XQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208224 | PA      | $176523.61    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M1                      | CUSIP: 35564KNK1<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    815935 | PA      | $814409.51    | 0.04%             | 2041-12-25      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                   | CyrusOne Data Centers Issuer I LLC, Series 2024-2A, Class A2             | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227000 | PA      | $221048.29    | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2022-1A, Class A1                        | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035789 | PA      | $1038418.73   | 0.05%             | 2062-08-15      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Solventum Corp.                                      | Solventum Corp.                                                          | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1945000 | PA      | $2019593.61   | 0.11%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2022-BMR2, Class B                           | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357000 | PA      | $324870.00    | 0.02%             | 2039-05-15      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396049 | PA      | $380922.97    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                 | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1424000 | PA      | $1591892.31   | 0.08%             | 2034-10-20      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171576 | PA      | $149650.86    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                         | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    991000 | PA      | $1020328.89   | 0.05%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| Centene Corp.                                        | Centene Corp.                                                            | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3778000 | PA      | $3720753.48   | 0.20%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318106 | PA      | $301670.48    | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                            | BPR Trust, Series 2024-PMDW, Class A                                     | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2248107 | PA      | $2282235.06   | 0.12%             | 2041-11-05      | Variable      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3142GS5Z7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601424 | PA      | $593317.97    | 0.03%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QM6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147844 | PA      | $135835.80    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                            | CUSIP: 3140XKDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1113278 | PA      | $1048572.41   | 0.06%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                             | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104640 | PA      | $90528.31     | 0.00%             | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Blue Owl Finance LLC                                 | Blue Owl Finance LLC                                                     | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |   1451000 | PA      | $1493016.04   | 0.08%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94709 | PA      | $89899.54     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                        | BLP Commercial Mortgage Trust, Series 2025-IND, Class A                  | CUSIP: 05625BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1746000 | PA      | $1740027.46   | 0.09%             | 2042-03-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                     | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |    101393 | NS      | $32342339.14  | 1.71%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 5 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1191 | NC      | $1386039.35   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Occidental Petroleum Corp.                           | Occidental Petroleum Corp.                                               | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    765000 | PA      | $808895.70    | 0.04%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NJD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50482 | PA      | $49758.28     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                              | Uber Technologies, Inc.                                                  | CUSIP: 90353T100<br>LEI: 549300B2FTG34FILDR98 | Long             | EC               | CORP              | US        |     94316 | NS      | $8799682.80   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Arthur J. Gallagher & Co.                            | Arthur J. Gallagher & Co.                                                | CUSIP: 04316JAM1<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    217000 | PA      | $219925.92    | 0.01%             | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                           | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10                  | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1236485 | PA      | $1230479.15   | 0.07%             | 2034-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-ROIC, Class B                                      | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $471437.50    | 0.02%             | 2030-03-15      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C4EP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36123 | PA      | $35604.01     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168573 | PA      | $152881.65    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                    | Johnson & Johnson                                                        | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     79830 | NS      | $12194032.50  | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2022-BMR2, Class A1                          | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1231000 | PA      | $1192531.25   | 0.06%             | 2039-05-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Mastercard, Inc.                                     | Mastercard, Inc., Class A                                                | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     78767 | NS      | $44262327.98  | 2.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Neuberger Berman CLO 32R Ltd.                        | Neuberger Berman CLO 32R Ltd., Series 2019-32RA, Class A                 | CUSIP: 64135XAA9<br>LEI: 25490093SHVBS5BLDZ40 | Long             | ABS-CBDO         | CORP              | KY        |   1693713 | PA      | $1693713.00   | 0.09%             | 2039-07-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                      | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14994200 | PA      | $15017628.44  | 0.79%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60392 | PA      | $58600.14     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Blue Owl Credit Income Corp.                         | Blue Owl Credit Income Corp.                                             | CUSIP: 69120VBB6<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    852000 | PA      | $910945.56    | 0.05%             | 2028-06-13      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                            | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51727 | PA      | $49839.28     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Universal Health Services, Inc.                      | Universal Health Services, Inc.                                          | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |    251000 | PA      | $223796.27    | 0.01%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R09, Class 2M1          | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620556 | PA      | $630319.79    | 0.03%             | 2042-09-25      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                            | BPR Trust, Series 2024-PMDW, Class D                                     | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726000 | PA      | $705946.65    | 0.04%             | 2041-11-05      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                      | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10754000 | PA      | $10752319.69  | 0.57%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XL3A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1827007 | PA      | $1849289.47   | 0.10%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENT Trust                                           | CENT Trust, Series 2023-CITY, Class A                                    | CUSIP: 12516WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1337000 | PA      | $1338661.76   | 0.07%             | 2038-09-15      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2022-FOX2, Class A2                                     | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    817449 | PA      | $816426.74    | 0.04%             | 2039-04-15      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                              | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1188000 | PA      | $1342256.64   | 0.07%             | 2031-10-30      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust, Series 2013-5, Class A1                          | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    144711 | PA      | $126225.34    | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XJQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74604 | PA      | $65251.33     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                          | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1673000 | PA      | $1712161.13   | 0.09%             | 2031-01-28      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BUS65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35128 | PA      | $34624.43     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XMJN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705669 | PA      | $612299.61    | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132E0XX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362008 | PA      | $367971.68    | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2023-DNA2, Class M1A                     | CUSIP: 35564KT58<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |    269240 | PA      | $273447.96    | 0.01%             | 2043-04-25      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XL5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809740 | PA      | $784645.53    | 0.04%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                       | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A                | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699152 | PA      | $692597.45    | 0.04%             | 2034-09-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                          | SREIT Trust, Series 2021-MFP, Class A                                    | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114082 | PA      | $114011.15    | 0.01%             | 2038-11-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                         | Cadence Design Systems, Inc.                                             | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    946000 | PA      | $934586.01    | 0.05%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                          | Intel Corp.                                                              | CUSIP: 458140BH2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    433000 | PA      | $395636.33    | 0.02%             | 2029-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                        | KRE Commercial Mortgage Trust, Series 2025-AIP4, Class A                 | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1491000 | PA      | $1487272.50   | 0.08%             | 2042-03-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15775 | PA      | $16537.04     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240208 | PA      | $219117.59    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG3, Class A       | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1414605 | PA      | $1455151.15   | 0.08%             | 2053-08-25      | Variable      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2022-INV1, Class A18                                   | CUSIP: 67115NAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654444 | PA      | $552979.30    | 0.03%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| AppLovin Corp.                                       | AppLovin Corp.                                                           | CUSIP: 03831WAD0<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   1513000 | PA      | $1536142.18   | 0.08%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41979 | PA      | $41793.35     | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury Long Bonds                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       164 | NC      | $510213.72    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 3617B13X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13179 | PA      | $12321.90     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2020-4, Class A1                                        | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413250 | PA      | $412985.74    | 0.02%             | 2025-10-25      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DPBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1381905 | PA      | $1206322.35   | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131304 | PA      | $113912.46    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140LW4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204129 | PA      | $201534.04    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp., Series FIX                                        | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3202000 | PA      | $3281888.52   | 0.17%             | 2031-01-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XRCL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5694551 | PA      | $4941109.06   | 0.26%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                      | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    992000 | PA      | $1009735.00   | 0.05%             | 2029-04-13      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                                 | EFMT, Series 2025-CES1, Class A1A                                        | CUSIP: 26846VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762547 | PA      | $769105.47    | 0.04%             | 2060-01-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C5TL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110646 | PA      | $108765.69    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Progressive Corp. (The)                              | Progressive Corp. (The)                                                  | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |     96492 | NS      | $25749855.12  | 1.36%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37412 | PA      | $36173.44     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                              | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    329000 | PA      | $340325.82    | 0.02%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16575 | PA      | $15384.94     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NetCredit Combined Receivables LLC                   | NetCredit Combined Receivables LLC, Series 2024-A, Class A               | CUSIP: 64113EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465991 | PA      | $471744.28    | 0.02%             | 2030-10-21      | Fixed         | 7.43%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                                   | A&D Mortgage Trust, Series 2024-NQM5, Class A1                           | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |   1105693 | PA      | $1110053.15   | 0.06%             | 2069-11-25      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2M1          | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219079 | PA      | $219938.03    | 0.01%             | 2042-04-25      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                               | Home Depot, Inc. (The)                                                   | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |     43113 | NS      | $15806950.32  | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2024-DNA3, Class M1                      | CUSIP: 35564NEZ2<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |    233707 | PA      | $233638.59    | 0.01%             | 2044-10-25      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QNGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397198 | PA      | $364708.38    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                            | CBAM Ltd., Series 2019-11RA, Class B                                     | CUSIP: 12510TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400456 | PA      | $400735.12    | 0.02%             | 2035-01-20      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                               | Marlette Funding Trust, Series 2023-2A, Class B                          | CUSIP: 57109LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90556 | PA      | $90723.86     | 0.00%             | 2033-06-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| U.S. Bancorp                                         | U.S. Bancorp                                                             | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1471000 | PA      | $1248558.12   | 0.07%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2024-HE1, Class A                                    | CUSIP: 31684HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587949 | PA      | $598932.14    | 0.03%             | 2054-03-25      | Variable      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150192 | PA      | $141572.10    | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                 | Charter Communications Operating LLC                                     | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3295000 | PA      | $3528419.51   | 0.19%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160042 | PA      | $146265.54    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Trane Technologies plc                               | Trane Technologies plc                                                   | CUSIP: N/A<br>LEI: 549300BURLR9SLYY2705       | Long             | EC               | CORP              | IE        |     29787 | NS      | $13029131.67  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                             | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    403867 | PA      | $363563.25    | 0.02%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XLVY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3079601 | PA      | $2586530.88   | 0.14%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                    | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1           | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1348000 | PA      | $1348209.88   | 0.07%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2          | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    706000 | PA      | $722101.04    | 0.04%             | 2042-01-25      | Floating      | 7.31%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M1          | CUSIP: 20753BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213999 | PA      | $215738.36    | 0.01%             | 2043-09-25      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19500 | PA      | $18495.80     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-GW, Class A                                        | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1618000 | PA      | $1622043.06   | 0.09%             | 2042-07-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M1                      | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   1289199 | PA      | $1288399.77   | 0.07%             | 2045-02-25      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                         | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    983367 | PA      | $985295.81    | 0.05%             | 2044-11-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353000 | PA      | $348511.92    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2023-R08, Class 1M1          | CUSIP: 20755CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426322 | PA      | $427642.92    | 0.02%             | 2043-10-25      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                                  | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                           | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    834417 | PA      | $847627.42    | 0.04%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES6, Class A1A                         | CUSIP: 748949AA2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |    473000 | PA      | $475675.29    | 0.03%             | 2055-06-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                           | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1289654.03   | 0.07%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2025-RPL4, Class A1                                     | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1251877 | PA      | $1170289.08   | 0.06%             | 2055-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79351 | PA      | $72546.07     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO IX Ltd.                             | Sixth Street CLO IX Ltd., Series 2017-9A, Class AR                       | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |   1682000 | PA      | $1685806.37   | 0.09%             | 2037-07-21      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140H6CD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551491 | PA      | $522143.77    | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AOMT                                                 | AOMT, Series 2024-6, Class A1                                            | CUSIP: 034944AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1652047 | PA      | $1634680.61   | 0.09%             | 2067-11-25      | Variable      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| EMRLD Borrower LP                                    | EMRLD Borrower LP, First Lien Second Amendment Incremental Term Loan     | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |   1929133 | PA      | $1923505.22   | 0.10%             | 2031-08-04      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23192 | PA      | $21909.23     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2025-6, Class A1                        | CUSIP: 034937AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1254608 | PA      | $1255060.99   | 0.07%             | 2070-04-25      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Co. LLC                  | Teva Pharmaceutical Finance Co. LLC                                      | CUSIP: 88163VAD1<br>LEI: 5493006PITD7MU7WW480 | Long             | DBT              | CORP              | US        |    575000 | PA      | $591160.38    | 0.03%             | 2036-02-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                  | Brown & Brown, Inc.                                                      | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    438000 | PA      | $442075.54    | 0.02%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Chipotle Mexican Grill, Inc.                         | Chipotle Mexican Grill, Inc.                                             | CUSIP: 169656105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    166851 | NS      | $9368683.65   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Adobe, Inc.                                          | Adobe, Inc.                                                              | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |     29126 | NS      | $11268266.88  | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DSFH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1484295 | PA      | $1518729.20   | 0.08%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                         | U.S. Bancorp                                                             | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1401000 | PA      | $1426152.98   | 0.08%             | 2031-02-12      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Jane Street Group                                    | Jane Street Group                                                        | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    989000 | PA      | $1040583.27   | 0.05%             | 2031-04-30      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555983 | PA      | $512860.97    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DNA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1668653 | PA      | $1399345.81   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384479 | PA      | $375373.77    | 0.02%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    823685 | PA      | $735875.42    | 0.04%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXIV Ltd.                      | Madison Park Funding XXXIV Ltd., Series 2019-34A, Class A2RR             | CUSIP: 55819GAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    790000 | PA      | $791042.80    | 0.04%             | 2037-10-16      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NJDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13873 | PA      | $13984.31     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2173970 | PA      | $1848532.40   | 0.10%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2025-HE2, Class A                                    | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    839784 | PA      | $850826.90    | 0.04%             | 2055-03-25      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2024-DNA2, Class M1                      | CUSIP: 35564NCX9<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |    693839 | PA      | $694908.80    | 0.04%             | 2044-05-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                 | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class E                          | CUSIP: 05493UAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438000 | PA      | $352888.72    | 0.02%             | 2050-07-27      | Variable      | 1.27%                 | Yes           |                  2 | On Loan: No      |
| National Australia Bank Ltd.                         | National Australia Bank Ltd.                                             | CUSIP: 632525AY7<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   2068000 | PA      | $1855860.26   | 0.10%             | 2031-05-21      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO X Ltd.                                   | Elmwood CLO X Ltd., Series 2021-3A, Class AR2                            | CUSIP: 29002VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1636000 | PA      | $1636000.00   | 0.09%             | 2038-07-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                 | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class F                          | CUSIP: 05493VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281000 | PA      | $268303.18    | 0.01%             | 2048-11-27      | Variable      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| HPS Loan Management Ltd.                             | HPS Loan Management Ltd., Series 2021-16A, Class B                       | CUSIP: 40440XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    310367 | PA      | $310711.20    | 0.02%             | 2035-01-23      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust                     | COOPR Residential Mortgage Trust, Series 2025-CES2, Class A1A            | CUSIP: 12674UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1018000 | PA      | $1021037.30   | 0.05%             | 2060-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1462135 | PA      | $1338528.70   | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Health Care Service Corp. A Mutual Legal Reserve Co. | Health Care Service Corp. A Mutual Legal Reserve Co.                     | CUSIP: 42218SAK4<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   1249000 | PA      | $1274601.96   | 0.07%             | 2029-06-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Intel Corp.                                          | Intel Corp.                                                              | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1157000 | PA      | $1076748.76   | 0.06%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 3617B14U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12752 | PA      | $11907.48     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ares LIII CLO Ltd.                                   | Ares LIII CLO Ltd., Series 2019-53A, Class A1R                           | CUSIP: 04009GAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1974000 | PA      | $1981386.71   | 0.10%             | 2036-10-24      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Carlyle U.S. CLO Ltd.                                | Carlyle U.S. CLO Ltd., Series 2018-4A, Class A2R                         | CUSIP: 14315RAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2203000 | PA      | $2210622.38   | 0.12%             | 2037-10-17      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class A          | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2029000 | PA      | $2036876.38   | 0.11%             | 2038-03-15      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                             | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7056000 | PA      | $5849216.77   | 0.31%             | 2055-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                   | DT Midstream, Inc.                                                       | CUSIP: 23345MAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2820000 | PA      | $2700388.29   | 0.14%             | 2031-06-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Deere & Co.                                          | Deere & Co.                                                              | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |     18033 | NS      | $9169600.17   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QSTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328862 | PA      | $320496.93    | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64666 | PA      | $61986.34     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                         | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421362 | PA      | $425868.09    | 0.02%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                         | Royal Caribbean Cruises Ltd.                                             | CUSIP: N/A<br>LEI: K2NEH8QNVW44JIWK7Z55       | Long             | EC               | CORP              | LR        |     44334 | NS      | $13882748.76  | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| OHA Credit Funding 9 Ltd.                            | OHA Credit Funding 9 Ltd., Series 2021-9A, Class A2R                     | CUSIP: 67690AAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1138000 | PA      | $1141119.26   | 0.06%             | 2037-10-19      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers Issuer LLC                      | Vantage Data Centers Issuer LLC, Series 2021-1A, Class A2                | CUSIP: 92212KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3200644 | PA      | $3084445.58   | 0.16%             | 2046-10-15      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3131Y04D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1559 | PA      | $1473.69      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2022-1A, Class A                   | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183435 | PA      | $182964.35    | 0.01%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QUYQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2263807 | PA      | $2233969.56   | 0.12%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2021-R02, Class 2M2                                  | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1879334 | PA      | $1892164.49   | 0.10%             | 2041-11-25      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC                    | Compass Datacenters Issuer II LLC, Series 2025-1A, Class A1              | CUSIP: 20469CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2780000 | PA      | $2814777.80   | 0.15%             | 2050-05-25      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                     | CVS Health Corp.                                                         | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1112000 | PA      | $1020514.13   | 0.05%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                      | Solventum Corp.                                                          | CUSIP: 83444MAT8<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    668000 | PA      | $662097.08    | 0.03%             | 2064-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                    | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A1            | CUSIP: 43789FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1726000 | PA      | $1734231.64   | 0.09%             | 2029-07-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Medline Borrower LP                                  | Medline Borrower LP, First Lien Dollar Incremental Term Loan             | CUSIP: 58503UAF0<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |   1510585 | PA      | $1510349.35   | 0.08%             | 2028-10-23      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140J8K28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341083 | PA      | $303940.99    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DQGE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275407 | PA      | $277484.88    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2024-HE2, Class A                                    | CUSIP: 316927AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    487933 | PA      | $498152.33    | 0.03%             | 2054-05-25      | Variable      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                          | CUSIP: 3622A2UF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354986 | PA      | $345973.11    | 0.02%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DNHN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1017180 | PA      | $858571.89    | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113043 | PA      | $109698.13    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8051 | PA      | $8052.21      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Health Care Service Corp. A Mutual Legal Reserve Co. | Health Care Service Corp. A Mutual Legal Reserve Co.                     | CUSIP: 42218SAF5<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    883000 | PA      | $789435.44    | 0.04%             | 2030-06-01      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Booz Allen Hamilton, Inc.                            | Booz Allen Hamilton, Inc.                                                | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   1388000 | PA      | $1408665.93   | 0.07%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-GPA3, Class B                  | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    751109 | PA      | $751813.07    | 0.04%             | 2039-12-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3131Y1D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295282 | PA      | $279522.51    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ballyrock CLO 14 Ltd.                                | Ballyrock CLO 14 Ltd., Series 2020-14A, Class A1BR                       | CUSIP: 05874XAN9<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |    345453 | PA      | $345746.64    | 0.02%             | 2037-07-20      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                | Cheniere Energy, Inc.                                                    | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |   1344000 | PA      | $1376497.44   | 0.07%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 42 Ltd.                  | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class A2RR          | CUSIP: 67576PBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250685.50    | 0.01%             | 2037-07-15      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157555 | PA      | $155508.21    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                 | BAMLL Re-REMIC Trust, Series 2024-FRR3, Class E                          | CUSIP: 054988AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589014 | PA      | $515466.59    | 0.03%             | 2050-01-27      | Variable      | 0.49%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Notes                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -96 | NC      | $-172091.30   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Corteva, Inc.                                        | Corteva, Inc.                                                            | CUSIP: 22052L104<br>LEI: 549300WZN9I2QKLS0O94 | Long             | EC               | CORP              | US        |     97621 | NS      | $7275693.13   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                           | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1604349.01   | 0.08%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                           | MSCI, Inc.                                                               | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $1057945.92   | 0.06%             | 2031-02-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B6F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52034 | PA      | $43800.41     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Constellation Software, Inc.                         | Constellation Software, Inc.                                             | CUSIP: 21037XAC4<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |    391000 | PA      | $397728.47    | 0.02%             | 2029-02-16      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2024-R04, Class 1M1          | CUSIP: 20753GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364423 | PA      | $364309.59    | 0.02%             | 2044-05-25      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2021-1A, Class B1                        | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360015 | PA      | $338152.81    | 0.02%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NEL94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99048 | PA      | $97628.26     | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 31418DQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028994 | PA      | $900840.34    | 0.05%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citadel Securities Global Holdings LLC               | Citadel Securities Global Holdings LLC                                   | CUSIP: 17289RAA4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252970.24    | 0.01%             | 2030-06-18      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                           | Occidental Petroleum Corp.                                               | CUSIP: 674599EK7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1406000 | PA      | $1394430.17   | 0.07%             | 2032-01-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NKCV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60883 | PA      | $60024.43     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    663000 | PA      | $611541.76    | 0.03%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24196 | PA      | $23235.37     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QNBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1622011 | PA      | $1353710.04   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133KMR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1953843 | PA      | $1640462.62   | 0.09%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2021-INV2, Class A11           | CUSIP: 58549XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564769 | PA      | $525936.98    | 0.03%             | 2051-08-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608167 | PA      | $533032.25    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                         | Chase Mortgage Finance Corp., Series 2021-CL1, Class M1                  | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    764085 | PA      | $759407.60    | 0.04%             | 2050-02-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2022-1A, Class A                            | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71071 | PA      | $70528.58     | 0.00%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2019-OC11, Class B                                      | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204000 | PA      | $192307.45    | 0.01%             | 2041-12-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                      | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2316000 | PA      | $2407457.77   | 0.13%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2M2          | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    521000 | PA      | $534950.87    | 0.03%             | 2042-04-25      | Floating      | 7.31%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2019-5, Class A1                        | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32066 | PA      | $31602.13     | 0.00%             | 2049-10-25      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES1, Class A1A                         | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    652129 | PA      | $655860.03    | 0.03%             | 2044-02-25      | Variable      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2018-2A, Class A1            | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |     89664 | PA      | $88463.99     | 0.00%             | 2058-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| American Tower Trust #1                              | American Tower Trust #1                                                  | CUSIP: 03027WAM4<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |   2081000 | PA      | $2116097.73   | 0.11%             | 2028-03-15      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C5HT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138221 | PA      | $136071.17    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C37K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200318 | PA      | $197046.08    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2022-INV1, Class A2            | CUSIP: 585490AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402357 | PA      | $339020.77    | 0.02%             | 2052-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Lightning Power LLC                                  | Lightning Power LLC, First Lien Initial Term Loan B                      | CUSIP: 53229LAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1794980 | PA      | $1796943.71   | 0.09%             | 2031-08-18      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B2LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133370 | PA      | $113026.57    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                       | Blackstone Private Credit Fund                                           | CUSIP: 09261HBC0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    947000 | PA      | $1009970.41   | 0.05%             | 2028-11-27      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3131Y0QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97924 | PA      | $94808.30     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                       | Broadcom, Inc.                                                           | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |    135074 | NS      | $37233148.10  | 1.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                 | Columbia Pipelines Operating Co. LLC                                     | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    799000 | PA      | $838376.99    | 0.04%             | 2033-11-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XP4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1221150 | PA      | $1263392.51   | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                              | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    546000 | PA      | $573135.83    | 0.03%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                       | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $510060.23    | 0.03%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QDFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119883 | PA      | $112632.61    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111291 | PA      | $97774.79     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                             | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    239000 | PA      | $234196.14    | 0.01%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                        | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class A                 | CUSIP: 78398EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986000 | PA      | $1971133.00   | 0.10%             | 2035-03-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                                  | Libra Solutions LLC, Series 2024-1A, Class A                             | CUSIP: 53161XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    327000 | PA      | $324747.98    | 0.02%             | 2038-09-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Abbott Laboratories                                  | Abbott Laboratories                                                      | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |     72528 | NS      | $9864533.28   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Albertsons Cos., Inc.                                | Albertsons Cos., Inc.                                                    | CUSIP: 01309QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    871000 | PA      | $891754.71    | 0.05%             | 2028-02-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: —       |
| Meta Platforms, Inc.                                 | Meta Platforms, Inc., Class A                                            | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |     61181 | NS      | $45157084.29  | 2.39%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17240 | PA      | $16525.64     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140JGAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58433 | PA      | $56611.28     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C5FR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52537 | PA      | $51643.71     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Costco Wholesale Corp.                               | Costco Wholesale Corp.                                                   | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |     10881 | NS      | $10771537.14  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagstar Mortgage Trust                              | Flagstar Mortgage Trust, Series 2021-13IN, Class A2                      | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656053 | PA      | $556389.15    | 0.03%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NLXN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30089 | PA      | $30455.51     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                           | MSCI, Inc.                                                               | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    295000 | PA      | $285466.99    | 0.02%             | 2029-11-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2021-VOLT, Class D                  | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    953327 | PA      | $948858.16    | 0.05%             | 2036-09-15      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MGJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96759 | PA      | $81454.36     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                           | CONE Trust, Series 2024-DFW1, Class B                                    | CUSIP: 20682AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    821377 | PA      | $824124.18    | 0.04%             | 2041-08-15      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-VLT5, Class B                  | CUSIP: 05614JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523000 | PA      | $532433.93    | 0.03%             | 2046-11-13      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bonds                                                      | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17929000 | PA      | $17452760.94  | 0.92%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                            | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11598 | PA      | $11188.14     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DNH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341561 | PA      | $314110.62    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499348 | PA      | $421045.14    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class M2                      | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |    290790 | PA      | $291889.46    | 0.02%             | 2041-10-25      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Croton Park CLO Ltd.                                 | Croton Park CLO Ltd.                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | KY        |   1080000 | PA      | $1081098.36   | 0.06%             | 2036-10-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188871 | PA      | $150237.87    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238026 | PA      | $216051.55    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                         | Hess Midstream Operations LP                                             | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    990000 | PA      | $983054.75    | 0.05%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                   | GS Mortgage Securities Corp. Trust, Series 2025-800D, Class A            | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2359000 | PA      | $2363216.24   | 0.12%             | 2041-11-25      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                        | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2955000 | PA      | $3031349.84   | 0.16%             | 2031-01-24      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41599 | PA      | $36549.10     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                             | Motorola Solutions, Inc.                                                 | CUSIP: 620076307<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | EC               | CORP              | US        |     16856 | NS      | $7087273.76   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 3617H1CJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57531 | PA      | $55238.16     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                            | Sunoco LP                                                                | CUSIP: 86765KAB5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   1457000 | PA      | $1517295.03   | 0.08%             | 2029-05-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54617 | PA      | $50683.88     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arthur J. Gallagher & Co.                            | Arthur J. Gallagher & Co.                                                | CUSIP: 04316JAN9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    543000 | PA      | $543256.05    | 0.03%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144664 | PA      | $137022.29    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                  | Brown & Brown, Inc.                                                      | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    192000 | PA      | $195821.41    | 0.01%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NPNG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59807 | PA      | $59005.06     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                      | Solventum Corp.                                                          | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   2564000 | PA      | $2638729.73   | 0.14%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| LEX Mortgage Trust                                   | LEX Mortgage Trust, Series 2024-BBG, Class A                             | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394000 | PA      | $396062.51    | 0.02%             | 2033-10-13      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Intel Corp.                                          | Intel Corp.                                                              | CUSIP: 458140CM0<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    289000 | PA      | $265129.18    | 0.01%             | 2054-02-21      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1109303 | PA      | $982581.82    | 0.05%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                 | CUSIP: 693475BZ7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1586000 | PA      | $1614998.47   | 0.09%             | 2035-07-23      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XPNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050273 | PA      | $1086372.23   | 0.06%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                        | Netflix, Inc.                                                            | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |     16874 | NS      | $22596479.62  | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| NYLI U.S. Government Liquidity Fund                  | NYLI U.S. Government Liquidity Fund                                      | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |  35105817 | NS      | $35105816.98  | 1.85%             |  |  |  | No            |                  1 | On Loan: No      |
| CBAM Ltd.                                            | CBAM Ltd., Series 2019-11RA, Class A1                                    | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1569000 | PA      | $1570638.04   | 0.08%             | 2035-01-20      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133AQP92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144283 | PA      | $120760.18    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NPCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86344 | PA      | $87397.52     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                    | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5301000 | PA      | $5386548.12   | 0.28%             | 2036-02-12      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2023-1A, Class A2                  | CUSIP: 52608LAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185764 | PA      | $188387.01    | 0.01%             | 2028-08-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C2ZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21116 | PA      | $21276.71     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES5, Class A1A                         | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280680 | PA      | $1286921.79   | 0.07%             | 2044-08-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC               | Gracie Point International Funding LLC, Series 2024-1A, Class A          | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482000 | PA      | $482894.69    | 0.03%             | 2028-03-01      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2021-BMR, Class C                            | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98683 | PA      | $98127.98     | 0.01%             | 2038-03-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140X8UA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101062 | PA      | $94989.76     | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                    | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1432000 | PA      | $1511132.33   | 0.08%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| UWM Mortgage Trust                                   | UWM Mortgage Trust, Series 2021-INV1, Class A9                           | CUSIP: 90354XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685196 | PA      | $636244.46    | 0.03%             | 2051-08-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Nasdaq, Inc.                                         | Nasdaq, Inc.                                                             | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |   1947000 | PA      | $2028519.57   | 0.11%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-NQM2, Class A1          | CUSIP: 64832BAC9<br>LEI: 213800Z6O4V4V96AU133 | Long             | ABS-MBS          | CORP              | US        |    995157 | PA      | $990024.10    | 0.05%             | 2064-09-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M2                      | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    424405 | PA      | $429154.09    | 0.02%             | 2041-12-25      | Floating      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, REMIC, Series 2023-K511, Class C                   | CUSIP: 30334FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $324450.39    | 0.02%             | 2028-11-25      | Variable      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                           | PRET Trust, Series 2025-RPL1, Class A1                                   | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849283 | PA      | $821837.65    | 0.04%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                         | CUSIP: 3622ABLY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1836782 | PA      | $1537258.77   | 0.08%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AppLovin Corp.                                       | AppLovin Corp.                                                           | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1302494.91   | 0.07%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Sun Communities Operating LP                         | Sun Communities Operating LP                                             | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   1283000 | PA      | $1137030.42   | 0.06%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class A2         | CUSIP: 80290CBD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82537 | PA      | $82920.54     | 0.00%             | 2032-08-16      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2024-5, Class A1                        | CUSIP: 03465YAA5<br>LEI: 25490045FDNHIWZ12934 | Long             | ABS-MBS          | CORP              | US        |   1496411 | PA      | $1483405.35   | 0.08%             | 2068-07-25      | Variable      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20556 | PA      | $19690.19     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class C                  | CUSIP: 55316VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    751130 | PA      | $751129.60    | 0.04%             | 2038-04-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2021-LBA, Class AJV                                     | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1118000 | PA      | $1117301.25   | 0.06%             | 2036-02-15      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2022-1A, Class A2                        | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900123 | PA      | $2915831.67   | 0.15%             | 2062-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QUBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933665 | PA      | $947986.73    | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1711636 | PA      | $1534806.58   | 0.08%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                | Foundry JV Holdco LLC                                                    | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    803000 | PA      | $832454.89    | 0.04%             | 2033-01-25      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                | Athene Global Funding                                                    | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1063000 | PA      | $920940.31    | 0.05%             | 2031-10-04      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                           | PRET Trust, Series 2025-RPL2, Class A1                                   | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    941622 | PA      | $910473.71    | 0.05%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                     | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     95830 | NS      | $27782075.30  | 1.47%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28513 | PA      | $27603.31     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS I LLC                                 | QTS Issuer ABS I LLC, Series 2025-1A, Class A2                           | CUSIP: 74690DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3381000 | PA      | $3426222.57   | 0.18%             | 2055-05-25      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                           | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    115493 | NS      | $16268343.98  | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP Capital LP                                       | GLP Capital LP                                                           | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    692000 | PA      | $692150.86    | 0.04%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141883 | PA      | $130451.26    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG4, Class A       | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    759960 | PA      | $783624.68    | 0.04%             | 2053-11-25      | Variable      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C4KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69733 | PA      | $70583.39     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QNS60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1133770 | PA      | $996286.88    | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DMXR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2375205 | PA      | $1992844.57   | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2023-CES3, Class A1A                         | CUSIP: 749407AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507530 | PA      | $515207.96    | 0.03%             | 2043-11-25      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Health Care Service Corp. A Mutual Legal Reserve Co. | Health Care Service Corp. A Mutual Legal Reserve Co.                     | CUSIP: 42218SAM0<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    884000 | PA      | $860990.05    | 0.05%             | 2054-06-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Vertex Pharmaceuticals, Inc.                         | Vertex Pharmaceuticals, Inc.                                             | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |     20005 | NS      | $8906226.00   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2021-3, Class A21                            | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502049 | PA      | $463914.59    | 0.02%             | 2051-07-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                          | Extended Stay America Trust, Series 2021-ESH, Class A                    | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    463173 | PA      | $463317.66    | 0.02%             | 2038-07-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1          | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234784 | PA      | $234565.66    | 0.01%             | 2044-07-25      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139124 | PA      | $134200.18    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                   | DT Midstream, Inc.                                                       | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1728827.72   | 0.09%             | 2029-06-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2021-VOLT, Class B                  | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    907792 | PA      | $904104.05    | 0.05%             | 2036-09-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2025-HE3, Class A                                    | CUSIP: 31684LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    983000 | PA      | $989509.23    | 0.05%             | 2055-05-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Aon North America, Inc.                              | Aon North America, Inc.                                                  | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3199000 | PA      | $3285977.45   | 0.17%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund           | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1     | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    743827 | PA      | $725881.85    | 0.04%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140LQQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119632 | PA      | $100709.32    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XL4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757506 | PA      | $662536.15    | 0.04%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, Single Family, 30 Year                                           | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31613 | PA      | $29962.15     | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2020-1, Class B1                         | CUSIP: 12530MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89945 | PA      | $88996.24     | 0.00%             | 2060-07-15      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291296 | PA      | $275446.70    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, Single Family, 30 Year                                           | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16339 | PA      | $15547.47     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                             | Marvell Technology, Inc.                                                 | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    515000 | PA      | $517280.16    | 0.03%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1          | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |    627000 | PA      | $627681.74    | 0.03%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502356 | PA      | $474989.21    | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                              | Genesee & Wyoming, Inc., First Lien Initial Term Loan                    | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |   2429547 | PA      | $2415125.69   | 0.13%             | 2031-04-10      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Chevron Corp.                                        | Chevron Corp.                                                            | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     94216 | NS      | $13490789.04  | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| Boeing Co. (The)                                     | Boeing Co. (The)                                                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1288000 | PA      | $1311312.18   | 0.07%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    838164 | PA      | $769300.67    | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                   | T-Mobile USA, Inc.                                                       | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1022000 | PA      | $1042228.45   | 0.06%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                       | GLP Capital LP                                                           | CUSIP: 361841AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    881000 | PA      | $941054.25    | 0.05%             | 2033-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130751 | PA      | $127689.34    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Issuer LLC                      | Vantage Data Centers Issuer LLC, Series 2020-1A, Class A2                | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1091000 | PA      | $1082503.62   | 0.06%             | 2045-09-15      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BPV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23967 | PA      | $24121.39     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1          | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280567 | PA      | $280743.88    | 0.01%             | 2045-01-25      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| ConocoPhillips                                       | ConocoPhillips                                                           | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |     96409 | NS      | $8651743.66   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| OHA Credit Funding 7 Ltd.                            | OHA Credit Funding 7 Ltd., Series 2020-7A, Class A1R2                    | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1734000 | PA      | $1734000.00   | 0.09%             | 2038-07-19      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Wendy's Funding LLC                                  | Wendy's Funding LLC, Series 2021-1A, Class A2I                           | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    243678 | PA      | $223963.88    | 0.01%             | 2051-06-15      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5291214 | PA      | $4494565.54   | 0.24%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2025-SPOT, Class A                  | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    874000 | PA      | $873726.88    | 0.05%             | 2040-04-15      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                             | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    692561 | PA      | $703727.05    | 0.04%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 3140FXVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3416166 | PA      | $2711742.97   | 0.14%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                   | CyrusOne Data Centers Issuer I LLC, Series 2024-3A, Class A2             | CUSIP: 23284BAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2171000 | PA      | $2066504.99   | 0.11%             | 2049-05-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Viper Energy, Inc.                                   | Viper Energy, Inc.                                                       | CUSIP: 92763MAB1<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |   1568000 | PA      | $1663781.53   | 0.09%             | 2031-11-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                           | Charles Schwab Corp. (The)                                               | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |     81028 | NS      | $7392994.72   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Booz Allen Hamilton, Inc.                            | Booz Allen Hamilton, Inc.                                                | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   1413000 | PA      | $1450464.73   | 0.08%             | 2033-08-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BVVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40280 | PA      | $39767.56     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M1                      | CUSIP: 35564KMA4<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |    218734 | PA      | $218187.25    | 0.01%             | 2041-11-25      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NKTV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71964 | PA      | $70788.13     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130802 | PA      | $120043.43    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                       | CUSIP: 50212YAK0<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1633836.29   | 0.09%             | 2034-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vistra Corp.                                         | Vistra Corp.                                                             | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |     30644 | NS      | $5939113.64   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145437 | PA      | $132679.69    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                             | COLT Mortgage Loan Trust, Series 2020-3, Class A1                        | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20338 | PA      | $19829.07     | 0.00%             | 2065-04-27      | Variable      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                       | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    578000 | PA      | $586974.54    | 0.03%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES3, Class A1A                         | CUSIP: 749420AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487435 | PA      | $490361.95    | 0.03%             | 2055-03-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                     | Domino's Pizza Master Issuer LLC, Series 2018-1A, Class A2I              | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    877385 | PA      | $874602.02    | 0.05%             | 2048-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Civitas Resources, Inc.                              | Civitas Resources, Inc.                                                  | CUSIP: 17888HAB9<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    705000 | PA      | $712831.94    | 0.04%             | 2031-07-01      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Marvell Technology, Inc.                             | Marvell Technology, Inc.                                                 | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    793000 | PA      | $774932.87    | 0.04%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QNPH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2351640 | PA      | $2152992.44   | 0.11%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530452 | PA      | $466100.12    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211534 | PA      | $193625.97    | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312197 | PA      | $294773.53    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173242 | PA      | $172914.01    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74270 | PA      | $68329.76     | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676998 | PA      | $589499.71    | 0.03%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1642690 | PA      | $1456364.11   | 0.08%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BX6G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139541 | PA      | $137448.37    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                   | Berry Global, Inc.                                                       | CUSIP: 08576BAB8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2428000 | PA      | $2551372.82   | 0.13%             | 2031-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-VLT5, Class C                  | CUSIP: 05614JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278000 | PA      | $284973.99    | 0.02%             | 2046-11-13      | Variable      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172394 | PA      | $157260.45    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                       | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    969000 | PA      | $974254.92    | 0.05%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XNVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3369735 | PA      | $2829252.42   | 0.15%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132E0N24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2127800 | PA      | $2200929.97   | 0.12%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C8HS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210526 | PA      | $213094.45    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A         | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100495 | PA      | $100438.31    | 0.01%             | 2040-02-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Marsh & McLennan Cos., Inc.                          | Marsh & McLennan Cos., Inc.                                              | CUSIP: 571748102<br>LEI: 549300XMP3KDCKJXIU47 | Long             | EC               | CORP              | US        |     40301 | NS      | $8811410.64   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 36179UST0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2259668 | PA      | $2072033.63   | 0.11%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-71, Class P                                     | CUSIP: 3136B6B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623699 | PA      | $555274.05    | 0.03%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TJX Cos., Inc. (The)                                 | TJX Cos., Inc. (The)                                                     | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |     68549 | NS      | $8465116.01   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37274 | PA      | $36188.57     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NG2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7550 | PA      | $7610.67      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                           | J.P. Morgan Mortgage Trust, Series 2025-5MPR, Class A1D                  | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688546 | PA      | $698255.12    | 0.04%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| DATA Mortgage Trust                                  | DATA Mortgage Trust, Series 2024-CTR2, Class A                           | CUSIP: 238020AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445544 | PA      | $447061.43    | 0.02%             | 2046-05-10      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10709 | PA      | $9219.84      | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2021-INV3, Class A11           | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    709519 | PA      | $660953.58    | 0.03%             | 2051-10-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Berry Global, Inc.                                   | Berry Global, Inc.                                                       | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    402000 | PA      | $414856.87    | 0.02%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ServiceNow, Inc.                                     | ServiceNow, Inc.                                                         | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |      9618 | NS      | $9888073.44   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Brown & Brown, Inc.                                  | Brown & Brown, Inc.                                                      | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    204000 | PA      | $208026.35    | 0.01%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2021-7A, Class A1                              | CUSIP: 12567HAC6<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    483000 | PA      | $483929.78    | 0.03%             | 2035-01-23      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                         | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612237 | PA      | $605685.64    | 0.03%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1338907 | PA      | $1127126.90   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140GQDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21177 | PA      | $19627.71     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                  | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1970347 | PA      | $1982636.84   | 0.10%             | 2041-10-15      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust          | Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1     | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173155 | PA      | $171340.05    | 0.01%             | 2060-09-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                       | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   2218000 | PA      | $2365501.06   | 0.12%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LV Ltd.                         | Madison Park Funding LV Ltd., Series 2022-55A, Class A1R                 | CUSIP: 55819FAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2458512 | PA      | $2465941.62   | 0.13%             | 2037-07-18      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Exelon Corp.                                         | Exelon Corp.                                                             | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1149152.00   | 0.06%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DUYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1950433 | PA      | $1703121.51   | 0.09%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                    | Xcel Energy, Inc.                                                        | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    832000 | PA      | $849398.88    | 0.04%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MJWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92148 | PA      | $77596.31     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, Single Family, 30 Year                                           | CUSIP: 3617AUZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251207 | PA      | $236787.50    | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC                    | CP EF Asset Securitization II LLC, Series 2023-1A, Class A               | CUSIP: 224092AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258506 | PA      | $261198.77    | 0.01%             | 2032-03-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3142GUZ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129000 | PA      | $130620.07    | 0.01%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                      | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3190000 | PA      | $3197476.56   | 0.17%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust            | Bayview MSR Opportunity Master Fund Trust, Series 2022-2, Class A1       | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    582685 | PA      | $491545.09    | 0.03%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Health Care Service Corp. A Mutual Legal Reserve Co. | Health Care Service Corp. A Mutual Legal Reserve Co.                     | CUSIP: 42218SAL2<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   2116000 | PA      | $2150010.43   | 0.11%             | 2034-06-15      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| U.S. Bancorp                                         | U.S. Bancorp                                                             | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1541000 | PA      | $1570248.09   | 0.08%             | 2036-02-12      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82371 | PA      | $74854.55     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                            | INVESCO GOVERNMENT & AGENCY PORTFOLIO OPEN-END FUND USD                  | CUSIP: 825252885<br>LEI: O37NHJVF7S22I1ONOU83 | Long             | STIV             | RF                | US        |    930825 | NS      | $930825.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 3138EQFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90716 | PA      | $88605.96     | 0.00%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95518 | PA      | $90124.03     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                       | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1171000 | PA      | $1184682.42   | 0.06%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C2UD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339577 | PA      | $334030.03    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3131Y0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78591 | PA      | $74568.64     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                     | Boeing Co. (The)                                                         | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1268000 | PA      | $1362712.33   | 0.07%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd.                           | Regatta XXIII Funding Ltd., Series 2021-4A, Class A1                     | CUSIP: 75889FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1413000 | PA      | $1413592.05   | 0.07%             | 2035-01-20      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M1A                     | CUSIP: 35564K2F5<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |     45023 | PA      | $45271.08     | 0.00%             | 2043-06-25      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 17 Ltd.            | GoldenTree Loan Management US CLO 17 Ltd., Series 2023-17A, Class AR     | CUSIP: 38139FAN0<br>LEI: 549300TS068SCJRDSP12 | Long             | ABS-CBDO         | CORP              | JE        |   1930000 | PA      | $1933377.50   | 0.10%             | 2039-01-20      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Humana, Inc.                                         | Humana, Inc.                                                             | CUSIP: 444859BY7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    942000 | PA      | $979428.23    | 0.05%             | 2034-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 31427NLG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463223 | PA      | $468014.26    | 0.02%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M1A                     | CUSIP: 35564KTA7<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    532809 | PA      | $536000.25    | 0.03%             | 2042-03-25      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Western Digital Corp.                                | Western Digital Corp.                                                    | CUSIP: 958102AM7<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |    293000 | PA      | $292229.05    | 0.02%             | 2026-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132E0WG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    927506 | PA      | $980355.63    | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Civitas Resources, Inc.                              | Civitas Resources, Inc.                                                  | CUSIP: 17888HAD5<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |   1366000 | PA      | $1400397.25   | 0.07%             | 2033-06-15      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2023-R04, Class 1M1          | CUSIP: 20754QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    634658 | PA      | $647947.50    | 0.03%             | 2043-05-25      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C5HS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78439 | PA      | $78514.87     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                | DB Master Finance LLC, Series 2021-1A, Class A2II                        | CUSIP: 233046AQ4<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    270200 | PA      | $250186.99    | 0.01%             | 2051-11-20      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XRVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430018 | PA      | $373176.55    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                          | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     19981 | NS      | $14141552.75  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. Treasury Bonds                                                      | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34199000 | PA      | $35128785.31  | 1.86%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)             | PNC Financial Services Group, Inc. (The)                                 | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    701000 | PA      | $722499.49    | 0.04%             | 2036-01-29      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-VLT5, Class A                  | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2274281.55   | 0.12%             | 2046-11-13      | Variable      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                | Walt Disney Co. (The)                                                    | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |    174677 | NS      | $21661694.77  | 1.14%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30638 | PA      | $29678.77     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                   | Compass Datacenters Issuer III LLC, Series 2025-1A, Class A2             | CUSIP: 20469BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1439000 | PA      | $1453515.62   | 0.08%             | 2050-02-25      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                     | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1420000 | PA      | $1456180.14   | 0.08%             | 2031-01-24      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                          | Amgen, Inc.                                                              | CUSIP: 031162100<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | EC               | CORP              | US        |     32315 | NS      | $9022671.15   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QUD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2630638 | PA      | $2633571.85   | 0.14%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES2, Class A1A                         | CUSIP: 74942BAA9<br>LEI: 2549001985H26N17CK52 | Long             | ABS-MBS          | CORP              | US        |   1096304 | PA      | $1101532.27   | 0.06%             | 2055-02-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                      | CUSIP: 91282CNH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11330000 | PA      | $11390190.63  | 0.60%             | 2028-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B42A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318023 | PA      | $267744.55    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Organon & Co.                                        | Organon & Co.                                                            | CUSIP: 68622FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1066000 | PA      | $1023728.67   | 0.05%             | 2034-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Microsoft Corp.                                      | Microsoft Corp.                                                          | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    193932 | NS      | $96463716.12  | 5.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Blue Owl Credit Income Corp.                         | Blue Owl Credit Income Corp.                                             | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    163000 | PA      | $161965.21    | 0.01%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 3617B14A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40844 | PA      | $38103.98     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133A9JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20903 | PA      | $17764.21     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-ROIC, Class A                                      | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2170000 | PA      | $2156437.50   | 0.11%             | 2030-03-15      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37637 | PA      | $34023.64     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd.                           | Regatta XXIII Funding Ltd., Series 2021-4A, Class B                      | CUSIP: 75889FAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    343955 | PA      | $344269.03    | 0.02%             | 2035-01-20      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105603 | PA      | $101231.01    | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES7, Class A1A                         | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1606956 | PA      | $1602346.00   | 0.08%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                  | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205171 | PA      | $205171.02    | 0.01%             | 2038-04-15      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XFMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    675768 | PA      | $569049.95    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust, Series 2020-2, Class A19                         | CUSIP: 81748KBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48196 | PA      | $43015.68     | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2024-3, Class A1                        | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253925 | PA      | $252655.92    | 0.01%             | 2068-11-26      | Variable      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                         | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540453 | PA      | $546648.54    | 0.03%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Prologis, Inc.                                       | Prologis, Inc.                                                           | CUSIP: 74340W103<br>LEI: 529900DFH19P073LZ636 | Long             | EC               | CORP              | US        |     76764 | NS      | $8069431.68   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| NIKE, Inc.                                           | NIKE, Inc., Class B                                                      | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |    117472 | NS      | $8345210.88   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| U.S. Bancorp                                         | U.S. Bancorp                                                             | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1259000 | PA      | $1296288.97   | 0.07%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                       | GLP Capital LP                                                           | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1007000 | PA      | $1003396.85   | 0.05%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3132CW6B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1315893 | PA      | $1236507.84   | 0.07%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                | Foundry JV Holdco LLC                                                    | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    369000 | PA      | $378481.89    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                            | Ford Motor Credit Co. LLC                                                | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    348000 | PA      | $366233.63    | 0.02%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                 | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class E                          | CUSIP: 05493VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143000 | PA      | $137323.69    | 0.01%             | 2048-11-27      | Variable      | 1.24%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2021-A, Class A                               | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133811 | PA      | $123132.80    | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-27, Class EA                                    | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422265 | PA      | $377677.50    | 0.02%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321700 | PA      | $304207.41    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37598 | PA      | $32618.54     | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XGNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577639 | PA      | $523505.09    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Jane Street Group                                    | Jane Street Group                                                        | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2309000 | PA      | $2331042.18   | 0.12%             | 2032-11-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                             | UnitedHealth Group, Inc.                                                 | CUSIP: 91324PFH0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   2140000 | PA      | $2167381.41   | 0.11%             | 2032-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Magnetite 50 Ltd.                                    | Magnetite 50 Ltd., Series 2025-50A, Class A1                             | CUSIP: 55956MAA7<br>LEI: 529900LA8YF5OY74OD31 | Long             | ABS-CBDO         | CORP              | KY        |   1393000 | PA      | $1393000.00   | 0.07%             | 2038-07-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ZF North America Capital, Inc.                       | ZF North America Capital, Inc.                                           | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    660000 | PA      | $609999.02    | 0.03%             | 2032-04-23      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                      | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    715000 | PA      | $721032.81    | 0.04%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2024-CES2, Class A1A                         | CUSIP: 74938PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1841361 | PA      | $1854355.93   | 0.10%             | 2044-04-25      | Variable      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NC6H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50894 | PA      | $50140.71     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 3138WQJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57641 | PA      | $51845.69     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XMUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1289813 | PA      | $1081980.92   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140HGGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98931 | PA      | $83719.96     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2912 | PA      | $2650.64      | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                            | Ford Motor Credit Co. LLC                                                | CUSIP: 345397D67<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    715000 | PA      | $742053.11    | 0.04%             | 2033-11-07      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                            | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137909 | PA      | $129984.96    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                         | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299392 | PA      | $301011.68    | 0.02%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                          | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3543000 | PA      | $3615151.18   | 0.19%             | 2035-02-13      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2024-VLT4, Class A                                      | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1621595 | PA      | $1621088.25   | 0.09%             | 2029-07-15      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B7SA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11382 | PA      | $9564.41      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    286000 | PA      | $286310.36    | 0.02%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NCWW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13250 | PA      | $13356.00     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NAT37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83372 | PA      | $82312.39     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16756 | PA      | $16265.56     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                                 | HCA Healthcare, Inc.                                                     | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |     22982 | NS      | $8804404.20   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Royalty Pharma plc                                   | Royalty Pharma plc                                                       | CUSIP: 78081BAM5<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    899000 | PA      | $609055.69    | 0.03%             | 2050-09-02      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C4K60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55446 | PA      | $54547.68     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2020-3, Class A2                        | CUSIP: 03465LAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112819 | PA      | $107382.86    | 0.01%             | 2065-04-25      | Variable      | 2.41%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71045 | PA      | $65469.74     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161071 | PA      | $141554.34    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intuitive Surgical, Inc.                             | Intuitive Surgical, Inc.                                                 | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |     14854 | NS      | $8071812.14   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie, Inc.                                         | AbbVie, Inc.                                                             | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     69030 | NS      | $12813348.60  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1M1          | CUSIP: 20754TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537625 | PA      | $537961.00    | 0.03%             | 2045-02-25      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335471 | PA      | $306788.00    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                             | Marvell Technology, Inc.                                                 | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1346000 | PA      | $1355366.94   | 0.07%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C1S76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160795 | PA      | $158705.59    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148665 | PA      | $148682.49    | 0.01%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, Single Family, 30 Year                                           | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56507 | PA      | $53224.19     | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    902875 | PA      | $875979.15    | 0.05%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                  | Union Pacific Corp.                                                      | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |     33481 | NS      | $7703308.48   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| CONE Trust                                           | CONE Trust, Series 2024-DFW1, Class A                                    | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117000 | PA      | $1112797.73   | 0.06%             | 2041-08-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| TYSN Mortgage Trust                                  | TYSN Mortgage Trust, Series 2023-CRNR, Class A                           | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1489099 | PA      | $1577350.90   | 0.08%             | 2033-12-10      | Variable      | 6.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 3140JB2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792590 | PA      | $745651.57    | 0.04%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                           | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7                    | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91775 | PA      | $91456.32     | 0.00%             | 2034-08-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| GWT                                                  | GWT, Series 2024-WLF2, Class A                                           | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1936000 | PA      | $1940893.82   | 0.10%             | 2041-05-15      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                                 | SMRT, Series 2022-MINI, Class A                                          | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1975000 | PA      | $1967593.75   | 0.10%             | 2039-01-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury Ultra Bonds                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       155 | NC      | $500067.51    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Booking Holdings, Inc.                               | Booking Holdings, Inc.                                                   | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |      3818 | NS      | $22103318.32  | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-GPA3, Class A                  | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086502 | PA      | $1087520.62   | 0.06%             | 2039-12-15      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26711 | PA      | $25896.34     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                      | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50588600 | PA      | $51078677.06  | 2.70%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citadel Securities Global Holdings LLC               | Citadel Securities Global Holdings LLC                                   | CUSIP: 17289RAB2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |    348000 | PA      | $357056.05    | 0.02%             | 2035-06-18      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Ultra Bonds                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        34 | NC      | $53919.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1048000 | PA      | $1072258.41   | 0.06%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                  | CUSIP: 3132ADHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237086 | PA      | $232744.53    | 0.01%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                          | CUSIP: 3622A2QL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307464 | PA      | $293282.12    | 0.02%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2024-FIG5, Class A       | CUSIP: 79582MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601016 | PA      | $611728.68    | 0.03%             | 2054-04-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                             | UnitedHealth Group, Inc.                                                 | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |     36747 | NS      | $11463961.59  | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                       | Thermo Fisher Scientific, Inc.                                           | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |     24900 | NS      | $10095954.00  | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140512 | PA      | $132439.42    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust         | Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class A    | CUSIP: 04047EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27624 | PA      | $27573.12     | 0.00%             | 2028-05-15      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30879 | PA      | $27577.82     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                    | Rocket Cos., Inc.                                                        | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $713321.00    | 0.04%             | 2030-08-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169864 | PA      | $164933.07    | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                           | GCAT Trust, Series 2022-INV1, Class A1                                   | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050209 | PA      | $893292.89    | 0.05%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES1, Class A1A                         | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381177 | PA      | $383441.42    | 0.02%             | 2045-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2024-AIR2, Class A                  | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1718851 | PA      | $1722066.61   | 0.09%             | 2041-10-15      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-HQA3, Class M1A                     | CUSIP: 35564KE39<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |    242393 | PA      | $246832.22    | 0.01%             | 2042-08-25      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                   | CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class B              | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285484 | PA      | $278507.75    | 0.01%             | 2048-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                     | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |     98668 | PA      | $98730.57     | 0.01%             | 2042-02-25      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2          | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    664000 | PA      | $667944.16    | 0.04%             | 2041-12-25      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MGDG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73416 | PA      | $64202.40     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                       | Synopsys, Inc.                                                           | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1012934.02   | 0.05%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2025-DNA2, Class M1                      | CUSIP: 35564NHZ9<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | CORP              | US        |    360636 | PA      | $361444.47    | 0.02%             | 2045-05-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3138EPS88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36552 | PA      | $34536.00     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE Aerospace                                         | GE Aerospace                                                             | CUSIP: 369604301<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EC               | CORP              | US        |     71085 | NS      | $18296568.15  | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C7NJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387693 | PA      | $392422.34    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133KR5L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2853750 | PA      | $2927282.80   | 0.15%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                   | General Motors Co.                                                       | CUSIP: 37045VBA7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    899000 | PA      | $918869.61    | 0.05%             | 2030-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                    | Rocket Cos., Inc.                                                        | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2935000 | PA      | $3003093.53   | 0.16%             | 2033-08-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350960 | PA      | $1137266.51   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2022-INV1, Class A1                                    | CUSIP: 67115NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247264 | PA      | $209932.75    | 0.01%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88255 | PA      | $77472.21     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30729 | PA      | $29997.73     | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Trust (The)                                          | Trust (The), Series 2023-MIC, Class A                                    | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    933823 | PA      | $1018274.96   | 0.05%             | 2038-12-05      | Variable      | 8.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                | CUSIP: 3132Y2M37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87218 | PA      | $82549.89     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Accenture plc                                        | Accenture plc, Class A                                                   | CUSIP: N/A<br>LEI: 5493000EWHDSR3MZWH98       | Long             | EC               | CORP              | IE        |     39195 | NS      | $11714993.55  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| DT Midstream, Inc.                                   | DT Midstream, Inc.                                                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    468000 | PA      | $437885.56    | 0.02%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2025-DIME, Class A                                      | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1685000 | PA      | $1679313.63   | 0.09%             | 2035-02-15      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| ZF North America Capital, Inc.                       | ZF North America Capital, Inc.                                           | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    818000 | PA      | $785536.66    | 0.04%             | 2030-04-23      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Constellation Software, Inc.                         | Constellation Software, Inc.                                             | CUSIP: 21037XAD2<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |   1136000 | PA      | $1158818.07   | 0.06%             | 2034-02-16      | Fixed         | 5.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168048 | PA      | $162962.65    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2025-CES5, Class A1A                         | CUSIP: 74942CAA7<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-O            | CORP              | US        |    637327 | PA      | $642986.47    | 0.03%             | 2055-05-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                           | Occidental Petroleum Corp.                                               | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    663000 | PA      | $757603.47    | 0.04%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                            | BPR Trust, Series 2023-BRK2, Class A                                     | CUSIP: 05610WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1329000 | PA      | $1392546.80   | 0.07%             | 2038-10-05      | Variable      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| VICI Properties LP                                   | VICI Properties LP                                                       | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $1132314.06   | 0.06%             | 2035-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QN3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    981451 | PA      | $889415.04    | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                           | MSCI, Inc.                                                               | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   1643000 | PA      | $1541042.32   | 0.08%             | 2030-09-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                           | Occidental Petroleum Corp.                                               | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    611000 | PA      | $612964.98    | 0.03%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LKQ Corp.                                            | LKQ Corp.                                                                | CUSIP: 501889AD1<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | DBT              | CORP              | US        |    780000 | PA      | $803614.77    | 0.04%             | 2028-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76820 | PA      | $74012.73     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140NAMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69656 | PA      | $68673.29     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                              | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    837000 | PA      | $972919.18    | 0.05%             | 2034-11-02      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204574 | PA      | $200213.06    | 0.01%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                  | Brown & Brown, Inc.                                                      | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1434000 | PA      | $1240763.74   | 0.07%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                              | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10647 | PA      | $9603.20      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                    | American Electric Power Co., Inc.                                        | CUSIP: 025537AX9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1633000 | PA      | $1697571.45   | 0.09%             | 2033-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AppLovin Corp.                                       | AppLovin Corp.                                                           | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    427000 | PA      | $417021.59    | 0.02%             | 2054-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27136 | PA      | $26012.04     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands IV BV        | Teva Pharmaceutical Finance Netherlands IV BV                            | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |   1352000 | PA      | $1376248.04   | 0.07%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CACI International, Inc.                             | CACI International, Inc.                                                 | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |    592000 | PA      | $610913.22    | 0.03%             | 2033-06-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3142GSRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1641669 | PA      | $1658730.48   | 0.09%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                  | Bank of New York Mellon Corp. (The)                                      | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1448000 | PA      | $1594497.24   | 0.08%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                           | GCAT Trust, Series 2023-INV1, Class A1                                   | CUSIP: 36830QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1147144 | PA      | $1154045.34   | 0.06%             | 2053-08-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes               | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A        | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235183 | PA      | $229564.21    | 0.01%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                   | LPL Holdings, Inc.                                                       | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    944000 | PA      | $955704.44    | 0.05%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust, Series 2024-HE4, Class A                                    | CUSIP: 31684UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    713160 | PA      | $713118.29    | 0.04%             | 2054-09-25      | Variable      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                    | Duke Energy Corp.                                                        | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2305000 | PA      | $2367421.13   | 0.13%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M1          | CUSIP: 207941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277021 | PA      | $277019.93    | 0.01%             | 2044-03-25      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| OPEN Trust                                           | OPEN Trust, Series 2023-AIR, Class C                                     | CUSIP: 68373BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265390 | PA      | $265556.27    | 0.01%             | 2040-11-15      | Floating      | 9.55%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                          | BXHPP Trust, Series 2021-FILM, Class A                                   | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $397362.50    | 0.02%             | 2036-08-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59748 | PA      | $57632.86     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes               | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A        | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108767 | PA      | $107674.19    | 0.01%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    745916 | PA      | $630114.63    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49251 | PA      | $44708.52     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                           | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1178062.89   | 0.06%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                            | BXP Trust, Series 2017-GM, Class A                                       | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396000 | PA      | $383021.61    | 0.02%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DNEN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65671 | PA      | $57876.94     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133C5WW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129392 | PA      | $127165.73    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B1          | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $821248.00    | 0.04%             | 2041-12-25      | Floating      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                       | SELF Commercial Mortgage Trust, Series 2024-STRG, Class A                | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1848000 | PA      | $1859961.00   | 0.10%             | 2034-11-15      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21775 | PA      | $21492.08     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3142GUNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2256187 | PA      | $2270775.69   | 0.12%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CRB Securitization Trust                             | CRB Securitization Trust, Series 2023-1, Class A                         | CUSIP: 12670DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42913 | PA      | $43068.46     | 0.00%             | 2033-10-20      | Fixed         | 6.96%                 | Yes           |                  2 | On Loan: No      |
| LBA Trust                                            | LBA Trust, Series 2024-BOLT, Class A                                     | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1294627 | PA      | $1295434.07   | 0.07%             | 2039-06-15      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Illumina, Inc.                                       | Illumina, Inc.                                                           | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    707000 | PA      | $710033.91    | 0.04%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                        | Duquesne Light Holdings, Inc.                                            | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $866592.13    | 0.05%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                  | CUSIP: 3133SKBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362632 | PA      | $341154.16    | 0.02%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23801 | PA      | $23170.39     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2024-RCF2, Class A1                                     | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340050 | PA      | $330746.47    | 0.02%             | 2054-03-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                                         | OCP CLO Ltd., Series 2020-18A, Class A2R2                                | CUSIP: 671078AY9<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |    602473 | PA      | $603367.67    | 0.03%             | 2037-07-20      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                          | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1144836 | PA      | $1124397.49   | 0.06%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                         | Humana, Inc.                                                             | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    334000 | PA      | $345167.63    | 0.02%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1        | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512468 | PA      | $517280.90    | 0.03%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140QS3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3098052 | PA      | $3132162.75   | 0.17%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 15 Year                                                       | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101842 | PA      | $98909.86     | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arthur J. Gallagher & Co.                            | Arthur J. Gallagher & Co.                                                | CUSIP: 04316JAF6<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    648000 | PA      | $710941.34    | 0.04%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26087 | PA      | $24672.65     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                      | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    337312 | PA      | $340036.44    | 0.02%             | 2041-09-25      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| National Grid plc                                    | National Grid plc                                                        | CUSIP: 636274AE2<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |   1006000 | PA      | $1057309.34   | 0.06%             | 2033-06-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3132DSTY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418439 | PA      | $423543.99    | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                            | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13215 | PA      | $12747.54     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust              | Saluda Grade Alternative Mortgage Trust, Series 2024-CES1, Class A1      | CUSIP: 79581VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496032 | PA      | $502127.58    | 0.03%             | 2054-03-25      | Variable      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| Zoetis, Inc.                                         | Zoetis, Inc.                                                             | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |     42624 | NS      | $6647212.80   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                 | Columbia Pipelines Operating Co. LLC                                     | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    161000 | PA      | $166258.23    | 0.01%             | 2043-08-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                            | CUSIP: 3140MGJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39322 | PA      | $33318.27     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                        | Equinix, Inc.                                                            | CUSIP: 29444U700<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | EC               | CORP              | US        |      3105 | NS      | $2469934.35   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Civitas Resources, Inc.                              | Civitas Resources, Inc.                                                  | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    380000 | PA      | $385790.44    | 0.02%             | 2030-11-01      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS Pool, 30 Year                                                       | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583642 | PA      | $488895.37    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                 | Alpha Generation LLC, First Lien Initial Term Loan B                     | CUSIP: 02072UAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    984560 | PA      | $982713.95    | 0.05%             | 2031-09-30      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                            | Sunoco LP                                                                | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    819000 | PA      | $859934.75    | 0.05%             | 2032-05-01      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2019-6, Class A1                        | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366972 | PA      | $360195.38    | 0.02%             | 2059-11-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M1          | CUSIP: 20753UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419845 | PA      | $419584.37    | 0.02%             | 2044-01-25      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer